The Student's t Approximation in a Stationary First Order Autoregressive Model.
The exact distribution of the regression t statistic for testing the value of the AR parameter in a Gaussian first ord er autoregressive model is investigated by Monte Carlo methods. The S tudent's t distribution is not a satisfactory approximation for sampl es typical in economic applications. The main problem is the location of the distribution of the t statistic rather than the shape. Once t he t statistic is adjusted so that it has the same mean and standard deviation as Student's t, the distribution of the adjusted t statisti c is accurately approximated by Student's t. Techniques are presented for mak-ing these adjustments in practice. Copyright 1988 by The Econometric Society.
Year of publication: |
1988
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Authors: | Nankervis, J C ; Savin, N E |
Published in: |
Econometrica. - Econometric Society. - Vol. 56.1988, 1, p. 119-45
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Publisher: |
Econometric Society |
Saved in:
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