Article citationsMore>>

K. Maekawa “An Approximation to the Distribution of the Least Squares Estimator in an Autoregressive Model with Exogenous Variables,” Econometrica, Vol. 51, No.1, 1983, pp. 229-238. doi:10.2307/1912258

has been cited by the following article:

• TITLE: Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error

  AUTHORS: Shuichi Nagata

  KEYWORDS: Edgeworth Expansion; OLS; Measurement Error; Instrumental Variables Estimator

  JOURNAL NAME: Open Journal of Statistics, Vol.2 No.4, October 31, 2012

  ABSTRACT: In this paper, we consider the finite sample property of the ordinary least squares (OLS) estimator for an AR(1) model with measurement error. We present the Edgeworth approximation for a finite distribution of OLS up to O(T1/2). We introduce an instrumental variable estimator that is consistent in the presence of measurement error. Finally, a simulation study is conducted to assess the theoretical results and to compare the finite sample performances of these estimators.