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Bias correction of OLSE in the regression model with lagged dependent variables

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  • Tanizaki, Hisashi
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-45H8H4F-7/2/a2456e6a567270e2b43a1e1ba52434cb
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 34 (2000)
    Issue (Month): 4 (October)
    Pages: 495-511

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    Handle: RePEc:eee:csdana:v:34:y:2000:i:4:p:495-511

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    Web page: http://www.elsevier.com/locate/csda

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    1. 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.
    2. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
    3. Tse, Y. K., 1982. "Edgeworth approximations in first-order stochastic difference equations with exogenous variables," Journal of Econometrics, Elsevier, vol. 20(2), pages 175-195, November.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
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    Cited by:
    1. 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.
    2. 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.
    3. 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.
    4. 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.

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