Mathematics
4 years ago

Outdated Approximations Fail in Predicting Economic Trends with Dependent Errors.

RePEc: Research Papers in Economics
The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors
Pierre Perrón

Paper Summary

The article examines how well a method works for estimating a parameter in a model with dependent errors. They looked at different scenarios and found that the method doesn't work well when errors are highly correlated. This can affect the accuracy of certain statistical tests used in economics and other fields.

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