A comparison of the accuracy of asymptotic approximations in the dynamic regression model using Kullback-Leibler information

Author:

Atukorala Ranjani,Sriananthakumar Sivagowry

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference38 articles.

1. Atukorala, R., 1999. The use of an information criterion for assessing asymptotic approximations in econometrics. Unpublished PhD Thesis, Monash University, Melbourne.

2. Assessing the accuracy of asymptotic approximations using Kullback-Leibler information;Atukorala,1996

3. The second-order bias and mean squared error of estimators in time-series models;Bao;J. Econ.,2007

4. Distribution of the estimators for autoregressive time series with a unit root;Dickey;J. Am. Stat. Assoc.,1979

5. A note on inadmissibility of the iterative Stein-rule estimator of the disturbance variance;Dube;J. Ind. Soc. Agric. Stat.,2007

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