Edgeworth Expansion for the OLS Estimator in a Time Series Regression Model
研究了在ARMA(1,1)模型中使用普通最小二乘法估计时的设定误差和估计量的近似分布，通过Edgeworth展开技术分析，并进行了数值模拟。
In this paper we consider the situation in which ordinary least squares (OLS) is used to estimate an ARMA (1,1) model with one exogenous variable. Applying Edgeworth expansion techniques, we examine the misspecification errors and the approximate distributions of the OLS estimator. Extensive numerical studies were performed and selected results are shown graphically. In addition, a technical device is developed to calculate the Edgeworth coefficients.