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Alternative bias approximations in first-order dynamic reduced form models

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  • Kiviet, Jan F.
  • Phillips, Garry D. A.
  • Schipp, Bernhard

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  • 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.
    • Handle: RePEc:eee:dyncon:v:23:y:1999:i:7:p:909-928
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    References listed on IDEAS

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    1. Peters, Thomas A., 1989. "The exact moments of ols in dynamic regression models with non-normal errors," Journal of Econometrics, Elsevier, vol. 40(2), pages 279-305, February.
    2. Grubb, David & Symons, James, 1987. "Bias in Regressions With a Lagged Dependent Variable," Econometric Theory, Cambridge University Press, vol. 3(3), pages 371-386, June.
    3. Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
    4. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(1), pages 62-80, January.
    5. 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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    Cited by:

    1. Clements, Kenneth W. & Lan, Yihui, 2010. "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1424-1437, November.
    2. 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.
    3. 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.

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