Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models
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References listed on IDEAS
- 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.
- MacKinnon, James G. & Smith Jr., Anthony A., 1998.
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- James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
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- 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.
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- 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.
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