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Edgeworth Expansion of the Parametric Bootstrap t-statistic for Linear Regression Processes with Strongly Dependent Errors
The purpose of this paper is to provide a valid Edgeworth expansion for the parametric bootstrap t-statistic of a linear regression process whose error terms are stationary, Gaussian, and strongly dependent time series.Under some sets of conditions on the spectral density function and the parametric values, an Edgeworth expansion of …