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.