{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T19:09:09Z","timestamp":1773083349062,"version":"3.50.1"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T00:00:00Z","timestamp":1287360000000},"content-version":"unspecified","delay-in-days":9209,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1985,8]]},"abstract":"<jats:p>In this paper we consider the situation in which ordinary least squares (OLS) is used to estimate an ARMA (1,1) model with one exogenous variable. Applying Edgeworth expansion techniques, we examine the misspecification errors and the approximate distributions of the OLS estimator. Extensive numerical studies were performed and selected results are shown graphically. In addition, a technical device is developed to calculate the Edgeworth coefficients.<\/jats:p>","DOI":"10.1017\/s0266466600011154","type":"journal-article","created":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T09:12:12Z","timestamp":1287393132000},"page":"223-239","source":"Crossref","is-referenced-by-count":8,"title":["Edgeworth Expansion for the OLS Estimator in a Time Series Regression Model"],"prefix":"10.1017","volume":"1","author":[{"given":"Koichi","family":"Maekawa","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2010,10,18]]},"reference":[{"key":"S0266466600011154_ref011","doi-asserted-by":"crossref","first-page":"58","DOI":"10.1111\/j.2517-6161.1984.tb01276.x","article-title":"An asymptotic expansion associated with the maximum likelihood estimators in ARMA models","volume":"46","author":"Tanaka","year":"1984","journal-title":"Journal of the Royal Statistical Society B"},{"key":"S0266466600011154_ref014","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90018-5"},{"key":"S0266466600011154_ref010","doi-asserted-by":"publisher","DOI":"10.2307\/1912060"},{"key":"S0266466600011154_ref008","doi-asserted-by":"publisher","DOI":"10.2307\/2297109"},{"key":"S0266466600011154_ref007","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/65.1.91"},{"key":"S0266466600011154_ref005","volume-title":"Statistical Research Group","author":"Maekawa","year":"1984"},{"key":"S0266466600011154_ref001","doi-asserted-by":"publisher","DOI":"10.1007\/BF02481958"},{"key":"S0266466600011154_ref013","article-title":"The third order asymptotic properties of maximum likelihood estimators for Gaussian processes","author":"Taniguchi","year":"1985","journal-title":"To appear in Journal of Multivariate Analysis"},{"key":"S0266466600011154_ref003","doi-asserted-by":"publisher","DOI":"10.2307\/1912258"},{"key":"S0266466600011154_ref002","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316429"},{"key":"S0266466600011154_ref004","first-page":"57","article-title":"Edgeworth expansions of the least squares estimator in ARMA (1,1) model with exogenous variables","volume":"1","author":"Maekawa","year":"1983","journal-title":"The Hiroshima Economic Review"},{"key":"S0266466600011154_ref012","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176346066"},{"key":"S0266466600011154_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/1913972"},{"key":"S0266466600011154_ref006","doi-asserted-by":"publisher","DOI":"10.2307\/1911222"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600011154","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,26]],"date-time":"2025-02-26T21:33:27Z","timestamp":1740605607000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600011154\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1985,8]]},"references-count":14,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1985,8]]}},"alternative-id":["S0266466600011154"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600011154","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1985,8]]}}}