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Finite Sample Econometrics Using ERA's

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Author Info
Peter C.B. Phillips () (Cowles Foundation, Yale University)

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Abstract

The paper considers approximate distribution theory as a way to deliver practical improvements over asymptotic methods. Trials of the adequacy of asymptotic series based approximations are conducted and the results exhibit the need for further improvements. An alternative approach is suggested which utilizes a family of extended rational approximants (ERA's). ERA's build on the strength of primitive exact theory or asymptotic series; they allow us to blend information from diverse analytic numerical and experimental sources. The ultimate objective of the approach is to incorporate directly into software constructive functional approximants relevant to statistical practice. An illustration is provided.

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File URL: http://cowles.econ.yale.edu/P/cp/p06a/p0605.pdf
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File URL: http://cowles.econ.yale.edu/P/cd/d06b/d0683.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 683.

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Length: 28 pages
Date of creation: Nov 1983
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Publication status: Published in Journal of Japan Statistical Society (1984), 14(2): 107-124
Handle: RePEc:cwl:cwldpp:683

Note: CFP 605.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Phillips, Peter C B, 1984. "The Exact Distribution of LIML: I," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 249-61, February. [Downloadable!] (restricted)
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  2. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-85, March. [Downloadable!] (restricted)
  3. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June. [Downloadable!] (restricted)
  4. Phillips, Peter C B, 1983. "ERAs: A New Approach to Small Sample Theory," Econometrica, Econometric Society, vol. 51(5), pages 1505-25, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation, Yale University. [Downloadable!]
  2. 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!]
  3. Francisco Cribari-Neto & Spyros Zarkos, 1995. "Improved Test Statistics for Multivariate Regression," Econometrics 9506003, EconWPA. [Downloadable!]
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