Empirical Limits for Time Series Econometric Models
نویسندگان
چکیده
منابع مشابه
Empirical Limits for Time Series Econometric Models
This paper seeks to characterize empirically achievable limits for time series econometric modeling. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the true probability measure in models that are of econometric interest. The approach utilizes generally valid asym...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2003
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00419