Econometrica: Sep 1974, Volume 42, Issue 5
Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence
D. H. Richardson, R. J. Rohr, R. L. BasmannThe 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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