Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 12 (1996)
Issue (Month): 03 (August)
Pages: 481-499
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Steve Lawford & Michalis P. Stamatogiannis, 2008.
"The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators,"
Working Paper Series
13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
- Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
- Forchini, G., 2000.
"The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions,"
Statistics & Probability Letters,
Elsevier, vol. 50(3), pages 237-243, November.
- Giovanni Forchini, . "The Density of the Sufficient Statistics for a Gaussian AR(1) Model in Terms of Generalized Functions," Discussion Papers 00/06, Department of Economics, University of York.
- Yu, Jun, 2012.
"Bias in the estimation of the mean reversion parameter in continuous time models,"
Journal of Econometrics,
Elsevier, vol. 169(1), pages 114-122.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers 23045, East Asian Bureau of Economic Research.
- Jun Yu, 2007. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers CoFie-06-2008, Sim Kee Boon Institute for Financial Economics, revised Oct 2008.
- Steve Lawford & Michalis P. Stamatogiannis, 2004.
"The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case,"
Public Policy Discussion Papers
04-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Economics and Finance Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Vinod, Hrishikesh D., 2006. "Maximum entropy ensembles for time series inference in economics," Journal of Asian Economics, Elsevier, vol. 17(6), pages 955-978, December.
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