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https://olympias.lib.uoi.gr/jspui/handle/123456789/11278Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Symeonides, S. | en |
| dc.contributor.author | Magdalinos, A. | en |
| dc.date.accessioned | 2015-11-24T17:05:11Z | - |
| dc.date.available | 2015-11-24T17:05:11Z | - |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11278 | - |
| dc.rights | Default Licence | - |
| dc.subject | Errors, Cornish-Fisher corrections, Edgeworth approximations, Linear regression, Monte Carlo | en |
| dc.title | Alternative size corrections for some GLS test statistics: The case of the AR(1) model | en |
| heal.type | journalArticle | - |
| heal.type.en | Journal article | en |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.language | en | - |
| heal.access | campus | - |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.publicationDate | 1995 | - |
| heal.abstract | Alternative size corrections are developed for the t and F tests in the AR(l) normal linear model. Edgeworth corrected critical values are obtained from normal, Student-t, chi-square, and F distributions. Alternatively, we may use Cornish-Fisher corrected test statistics to avoid the problem of negative tail " probabilities" of an Edgeworth " distribution" . The use of the exact distributions (Student-t, F) results in approximations that are locally exact, i.e., they reduce to the exact formulae for a sufficient simplification of the model. Monte Carlo findings support the theoretical considerations in favour of the locally exact Cornish-Fisher corrections. | en |
| heal.publisher | Elsevier | en |
| heal.journalName | Journal of Econometrics | en |
| heal.journalType | peer reviewed | - |
| heal.fullTextAvailability | TRUE | - |
| Appears in Collections: | Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά) - ΟΕ | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Symeonides-1995-alternative size corrections.pdf | 1.34 MB | Adobe PDF | View/Open Request a copy |
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