P. C. B. Phillips and C. Han, “Gaussian Inference in AR(1) Times Series with or without Unit Root,” Econometric Theory, Vol. 24, No. 3, 2008, pp. 631-650. doi:10.1017/S0266466608080262

has been cited by the following article:

• TITLE: Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error

  AUTHORS: Shuichi Nagata

  KEYWORDS: Edgeworth Expansion; OLS; Measurement Error; Instrumental Variables Estimator

  JOURNAL NAME: Open Journal of Statistics, Vol.2 No.4, October 31, 2012

  ABSTRACT: In this paper, we consider the finite sample property of the ordinary least squares (OLS) estimator for an AR(1) model with measurement error. We present the Edgeworth approximation for a finite distribution of OLS up to O(T1/2). We introduce an instrumental variable estimator that is consistent in the presence of measurement error. Finally, a simulation study is conducted to assess the theoretical results and to compare the finite sample performances of these estimators.