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

Shuichi Nagata

Department of Mathematical Sciences, Kwansei Gakuin University, Sanda, Japan.

DOI: 10.4236/ojs.2012.24046                

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(T^1/2). 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.

Keywords

Edgeworth Expansion; OLS; Measurement Error; Instrumental Variables Estimator

Conflicts of Interest

The authors declare no conflicts of interest.

References

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