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On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods

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  • Hisashi Tanizaki

    ()

  • Shigeyuki Hamori
  • Yoichi Matsubayashi

Abstract

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File URL: http://hdl.handle.net/10.1007/s00362-005-0275-6
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Bibliographic Info

Article provided by Springer in its journal Statistical Papers.

Volume (Year): 47 (2006)
Issue (Month): 1 (January)
Pages: 109-124

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Handle: RePEc:spr:stpapr:v:47:y:2006:i:1:p:109-124

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Web page: http://www.springer.com/statistics/business/journal/362

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Related research

Keywords: AR(p) Model; OLSE; Unbiased Estimator; Exogenous Variables; Nonnormal Error; Bootstrap Method;

References

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  1. 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.
  2. 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.
  3. 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.
  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. Tsui, Albert K. & Ali, Mukhtar M., 1994. "Exact distributions, density functions and moments of the last squares estimator in a first-order autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 17(4), pages 433-454, May.
  6. Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M. 96a14, Universite Aix-Marseille III.
  7. Maekawa, Koichi, 1983. "An Approximation to the Distribution of the Least Squares Estimator in an Autoregressive Model with Exogenous Variables," Econometrica, Econometric Society, vol. 51(1), pages 229-38, January.
  8. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
  9. Tanizaki, Hisashi, 2000. "Bias correction of OLSE in the regression model with lagged dependent variables," Computational Statistics & Data Analysis, Elsevier, vol. 34(4), pages 495-511, October.
  10. 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.
  11. 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.
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Cited by:
  1. Hevia, Constantino, 2012. "Using pooled information and bootstrap methods to assess debt sustainability in low income countries," Policy Research Working Paper Series 5978, The World Bank.
  2. Christopher Withers & Saralees Nadarajah, 2013. "Calibration with low bias," Statistical Papers, Springer, vol. 54(2), pages 371-379, May.

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