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

• 作者: Shuichi Nagata
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Edgeworth Expansion OLS Measurement ERROR INSTRUMENTAL VARIABLES ESTIMATOR
• 年，卷（期）: 2012,（4）
• 页码范围: 383-388
• 页数: 6页
• 分类号: O1

摘要

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.