A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression

Peter Phillips

No 487, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: In approximating the small sample distribution of the least squares estimator of the coefficient in a non-circular autoregression the saddlepoint method is complicated by the presence of a branch point of the integrand within the natural contour of integration. Some new approximations are given based on a contour looping around the branch point; and a uniform approximation which is valid as the saddlepoint crosses branch point is also developed.

Pages: 14 pages
Date: 1978
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Citations: View citations in EconPapers (1)

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