%0 Journal Article
%T Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error
%A Shuichi Nagata
%J Open Journal of Statistics
%P 383-388
%@ 2161-7198
%D 2012
%I Scientific Research Publishing
%R 10.4236/ojs.2012.24046
%X 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<sup>1/2</sup>). 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.
%K Edgeworth Expansion
%K OLS
%K Measurement Error
%K Instrumental Variables Estimator
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=23772