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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.