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 OJS  Vol.2 No.4 , October 2012
Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error
Shuichi Nagata*
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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.
Keywords: Edgeworth Expansion; OLS; Measurement Error; Instrumental Variables Estimator
Cite this paper: S. Nagata, "Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error," Open Journal of Statistics, Vol. 2 No. 4, 2012, pp. 383-388. doi: 10.4236/ojs.2012.24046.
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