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Biases Of Estimators In Multivariate Non‐Gaussian Autoregressions

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  • Alun Lloyd Pope

Abstract

. Expressions for the bias of the least‐squares and modified Yule‐Walker estimators in a correctly specified multivariate autoregression of arbitrary order are obtained without assuming that the innovations are Gaussian. Instead, the innovations are assumed to form a martingale difference sequence which is stationary up to sixth order and which has finite sixth moments. The errors in the expressions are shown to be O(n‐3/2), as the sample size n under some moment conditions. The expressions obtained are the same in the Gaussian and non‐Gaussian cases.

Suggested Citation

  • Alun Lloyd Pope, 1990. "Biases Of Estimators In Multivariate Non‐Gaussian Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(3), pages 249-258, May.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:3:p:249-258
    DOI: 10.1111/j.1467-9892.1990.tb00056.x
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    4. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
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    7. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    8. Micheli, Martin, 2019. "Labor market effects of minimum wage shocks," Ruhr Economic Papers 830, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    9. Lusompa, Amaze, 2019. "Local Projections, Autocorrelation, and Efficiency," MPRA Paper 99856, University Library of Munich, Germany, revised 11 Apr 2020.
    10. Cysne, Rubens Penha, 2005. "What happens after the central bank of Brazil increases the target interbank rate by 1%?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 584, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    11. Brad J. Hershbein & Bryan A. Stuart, 2020. "Recessions and Local Labor Market Hysteresis," Upjohn Working Papers 20-325, W.E. Upjohn Institute for Employment Research.

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