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The exact moments of the least squares estimator for the autoregressive model

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Sawa, Takamitsu
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 8 (1978)
Issue (Month): 2 (October)
Pages: 159-172
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Handle: RePEc:eee:econom:v:8:y:1978:i:2:p:159-172

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  1. Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, EconWPA. [Downloadable!]
    Other versions:
  2. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics. [Downloadable!]
  3. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Jondeau, E. & Le Bihan, H., 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Documents de Travail 103, Banque de France. [Downloadable!]
    Other versions:
  5. James G. MacKinnon & Anthony A. Smith, 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
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