Bias correction of OLSE in the regression model with lagged dependent variables
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 34 (2000)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/csda
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- Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
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- Peters, Thomas A., 1989. "The exact moments of ols in dynamic regression models with non-normal errors," Journal of Econometrics, Elsevier, vol. 40(2), pages 279-305, February.
- Orcutt, Guy H & Winokur, Herbert S, Jr, 1969. "First Order Autoregression: Inference, Estimation, and Prediction," Econometrica, Econometric Society, vol. 37(1), pages 1-14, January.
- Grubb, David & Symons, James, 1987. "Bias in Regressions With a Lagged Dependent Variable," Econometric Theory, Cambridge University Press, vol. 3(03), pages 371-386, June.
- Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
- Maekawa, Koichi, 1987. "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 3(03), pages 359-370, June.
- Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.
- 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.
- Hisashi Tanizaki & Shigeyuki Hamori & Yoichi Matsubayashi, 2006. "On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods," Statistical Papers, Springer, vol. 47(1), pages 109-124, January.
- 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.
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