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Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable

Citations

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Cited by:

  1. Mavroeidis, Sophocles & Sasaki, Yuya & Welch, Ivo, 2015. "Estimation of heterogeneous autoregressive parameters with short panel data," Journal of Econometrics, Elsevier, vol. 188(1), pages 219-235.
  2. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August.
  3. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  4. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
  5. Barhoumi, Karim, 2006. "Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation," Economic Modelling, Elsevier, vol. 23(6), pages 926-951, December.
  6. Risso, W. Adrián & Punzo, Lionello F. & Carrera, Edgar J. Sánchez, 2013. "Economic growth and income distribution in Mexico: A cointegration exercise," Economic Modelling, Elsevier, vol. 35(C), pages 708-714.
  7. Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, vol. 53(2), pages 161-167, November.
  8. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
  9. Kiviet, Jan F. & Phillips, Garry D.A., 2012. "Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3705-3729.
  10. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.
  11. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
  12. Rafal Raciborski, 2008. "Searching for additional sources of inflation persistence : the micro-price panel data approach," Working Paper Research 132, National Bank of Belgium.
  13. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
  14. Phillips, Garry David Alan & Wang, Dandan, 2019. "Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models," DES - Working Papers. Statistics and Econometrics. WS 28322, Universidad Carlos III de Madrid. Departamento de Estadística.
  15. Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
  16. Atukorala, Ranjani & Sriananthakumar, Sivagowry, 2015. "A comparison of the accuracy of asymptotic approximations in the dynamic regression model using Kullback-Leibler information," Economic Modelling, Elsevier, vol. 45(C), pages 169-174.
  17. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
  18. Vougas, Dimitrios V., 2007. "GLS detrending and unit root testing," Economics Letters, Elsevier, vol. 97(3), pages 222-229, December.
  19. Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.
  20. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
  21. Yongcheol Shin & Ron P Smith & Mohammad Hashem Pesaran, 1998. "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels," Edinburgh School of Economics Discussion Paper Series 16, Edinburgh School of Economics, University of Edinburgh.
  22. Ullah, Aman, 2002. "Uses of entropy and divergence measures for evaluating econometric approximations and inference," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 313-326, March.
  23. Aman Ullah & Yong Bao & Ru Zhang, 2014. "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers 201401, University of California at Riverside, Department of Economics.
  24. Phillips, Garry D.A. & Liu-Evans, Gareth, 2016. "Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 734-762.
  25. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
  26. Vougas, Dimitrios V., 2006. "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 27-34, January.
  27. Bao, Yong & Ullah, Aman, 2007. "The second-order bias and mean squared error of estimators in time-series models," Journal of Econometrics, Elsevier, vol. 140(2), pages 650-669, October.
  28. Jan F. Kiviet & Garry D. A. Phillips, 2000. "Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models," Econometric Society World Congress 2000 Contributed Papers 0631, Econometric Society.
  29. Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard, 1995. "The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models," Journal of Econometrics, Elsevier, vol. 69(1), pages 241-266, September.
  30. Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard, 1999. "Alternative bias approximations in first-order dynamic reduced form models," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 909-928, June.
  31. van Giersbergen, Noud P.A., 2016. "The ability to correct the bias in the stable AD(1,1) model with a feedback effect," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 186-204.
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