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.
MLA
Richardson, D. H., et al. “Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence.” Econometrica, vol. 42, .no 5, Econometric Society, 1974, pp. 825-839, https://www.jstor.org/stable/1913791
Chicago
Richardson, D. H., R. J. Rohr, and R. L. Basmann. “Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence.” Econometrica, 42, .no 5, (Econometric Society: 1974), 825-839. https://www.jstor.org/stable/1913791
APA
Richardson, D. H., Rohr, R. J., & Basmann, R. L. (1974). Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence. Econometrica, 42(5), 825-839. https://www.jstor.org/stable/1913791
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