Advanced Search
MyIDEAS: Login to save this paper or follow this series

Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root


Author Info

  • Jan F. Kiviet

    (University of Amsterdam)

  • Garry D.A. Phillips

    (Cardiff Business School, Cardiff, Wales, UK)


This discussion paper led to a publication in 'The Econometrics Journal' .Asymptotic expansions are employed in a dynamic regression model with a unit root inorder to find approximations for the bias, the variance and for the mean squared error of theleast-squares estimator of all coefficients. It is found that in this particular context suchexpansions exist only when the autoregressive model contains at least one non-redundant exogenousexplanatory variable and that local to zero asymptotic approaches are here without avail.Surprisingly the large sample and small disturbance asymptotic techniques give closely relatedresults, which is not the case in stable dynamic regression models. The expressions for momentapproximations are specialized to the random walk with (trend in) drift model and their accuracyis examined in Monte Carlo experiments.

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:
Download Restriction: no

Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-118/4.

as in new window
Date of creation: 06 Dec 2001
Date of revision:
Handle: RePEc:dgr:uvatin:20010118

Contact details of provider:
Web page:

Related research


Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:


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


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Pesaran, M.H. & Timmermann, A., 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," Cambridge Working Papers in Economics 0331, Faculty of Economics, University of Cambridge.
  2. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
  3. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.


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


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:dgr:uvatin:20010118. 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: (Antoine Maartens (+31 626 - 160 892)).

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.