Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence

Econometrica: Sep, 1974, Volume 42, Issue 5

Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence

https://www.jstor.org/stable/1913791
p. 825-839

D. H. Richardson, R. J. Rohr, R. L. Basmann

The 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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December 4, 2024

Update on 2025 Submission and Publication Page Fees at Econometric Society Journals

The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica.  Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
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