On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Statistical Papers.
Volume (Year): 47 (2006)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.springer.com/statistics/business/journal/362
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
- James G. MacKinnon & Anthony A. Smith Jr., 1995.
"Approximate Bias Correction in Econometrics,"
919, Queen's University, Department of Economics.
- James G. MacKinnon & Anthony A. Smith, Jr., . "Approximate Bias Correction in Econometrics," GSIA Working Papers 1997-36, Carnegie Mellon University, Tepper School of Business.
- Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M. 96a14, Universite Aix-Marseille III.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Christopher Withers & Saralees Nadarajah, 2013. "Calibration with low bias," Statistical Papers, Springer, vol. 54(2), pages 371-379, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.