Econometrica: Sep 1974, Volume 42, Issue 5

Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence

https://doi.org/0012-9682(197409)42:5<825:FSDAWS>2.0.CO;2-0
p. 825-839

D. H. Richardson, R. J. Rohr, R. L. Basmann

The empirical distribution functions of the least squares estimators and test statistics in a system of stochastic difference equation are studied. The general conclusion is that the empirical distributions cannot be closely approximated using the normal distribution theory.
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