A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression
AbstractIn approximating the small sample distribution of the least squares estimator of the coefficient in a non-circular autoregression the saddlepoint method is complicated by the presence of a branch point of the integrand within the natural contour of integration. Some new approximations are given based on a contour looping around the branch point; and a uniform approximation which is valid as the saddlepoint crosses branch point is also developed.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 487.
Length: 14 pages
Date of creation: 1978
Date of revision:
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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- Peter C.B. Phillips, 1981. "A New Approach to Small Sample Theory," Cowles Foundation Discussion Papers 608, Cowles Foundation for Research in Economics, Yale University.
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