Advanced Search
MyIDEAS: Login

The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case

Contents:

Author Info

  • Steve Lawford

    ()

  • Michalis P. Stamatogiannis

Abstract

Vector autoregressions (VARs) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely nonstationary first-order VAR. Specifically, we use Monte Carlo simulation and numerical optimization to derive response surfaces for OLS bias and variance, in terms of VAR dimensions,given correct and (several types of) over-parameterization of the model:we include a constant, and a constant and trend, and introduce excess lags. We then examine the correction factors required for the least squares estimator to attain minimum mean squared error (MSE). Our results improve and extend one of the main ?nite-sample analytical bias results of Abadir, Hadri and Tzavalis (Econometrica 67 (1999) 163), generalize the univariate variance and MSE ?ndings of Abadir (Econ.Lett. 47 (1995) 263), and complement various asymptotic studies.

Download Info

If 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.
File URL: http://www.brunel.ac.uk/329/efwps/04-05.PDF
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (John.Hunter)
Download Restriction: no

Bibliographic Info

Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 04-05.

as in new window
Length: 20 pages
Date of creation: Mar 2004
Date of revision:
Handle: RePEc:bru:bruedp:04-05

Contact details of provider:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

Related research

Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bru:bruedp:04-05. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John.Hunter).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.