The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case
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- Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Economics and Finance Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-07 (All new papers)
- NEP-ECM-2004-03-07 (Econometrics)
- NEP-ETS-2004-03-07 (Econometric Time Series)
- NEP-IFN-2004-03-07 (International Finance)
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