Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1974, Volume 42, Issue 5

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