An alternative approach to approximating the moments of least squares estimators
AbstractA new methodology is presented for approximating the moments of least squares coefficient estimators in situations where endogeneity and dynamics are present. The OLS estimator is the focus here, but the method, which is valid under a simple set of smoothness and moment conditions, can be applied to related estimators. An O(T−1) approximation is presented for the bias in OLS estimation of a general ARX(p) model.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26550.
Date of creation: 09 Nov 2010
Date of revision:
moment approximation; bias; finite sample;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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