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Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

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Phillips, Peter C B

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 45 (1977)
Issue (Month): 2 (March)
Pages: 463-85
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Handle: RePEc:ecm:emetrp:v:45:y:1977:i:2:p:463-85

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  1. Peter C.B. Phillips, 1982. "ERA's: A New Approach to Small Sample Theory," Cowles Foundation Discussion Papers 645, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Peter C.B. Phillips, 1983. "Finite Sample Econometrics Using ERA's," Cowles Foundation Discussion Papers 683, Cowles Foundation, Yale University. [Downloadable!]
  3. Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation, Yale University. [Downloadable!]
  4. Offer Lieberman & Peter C.B. Phillips, 2001. "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter," Cowles Foundation Discussion Papers 1308, Cowles Foundation, Yale University. [Downloadable!]
  5. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation, Yale University. [Downloadable!]
  6. Mukhtar M. Ali, 1996. "Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model," Econometrics 9604001, EconWPA. [Downloadable!]
  7. Donald W.K. Andrews, 1991. "Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models," Cowles Foundation Discussion Papers 975, Cowles Foundation, Yale University. [Downloadable!]
  8. Peter C.B. Phillips & R.C. Reiss, 1984. "Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's," Cowles Foundation Discussion Papers 721, Cowles Foundation, Yale University. [Downloadable!]
  9. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics. [Downloadable!]
  10. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
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  11. repec:att:wimass:19199826 is not listed on IDEAS
  12. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, EconWPA. [Downloadable!]
  13. Kazuhiko Hayakawa, 2006. "A Note on Bias in First-Differenced AR(1) Models," Economics Bulletin, Economics Bulletin, vol. 3(27), pages 1-10. [Downloadable!]
  14. Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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