The exact moments of OLS in dynamic regression models with non-normal errors

DOI10.1016/0304-4076(89)90086-9zbMath0677.62086OpenAlexW2022641977MaRDI QIDQ1123523

Thomas A. Peters

Publication date: 1989

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90086-9

zbMATH Keywords

kurtosismean square errormoment-generating functionskewnesssignal to noise ratioautoregressionordinary least squares estimatorfirst and second momentsEdgeworth-Gram-Charlier populationexact biasexact MSEfinite-sample sensitivity of OLS estimatorsfirst-order stochastic difference equation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods ⋮ From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more ⋮ Moments of the ratio of quadratic forms in non-normal variables with econometric examples ⋮ THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION ⋮ Small sample properties of ridge estimators with normal and non-normal disturbances ⋮ The coefficient of determination and its adjusted version in linear regression models ⋮ Alternative bias approximations in first-order dynamic reduced form models ⋮ Bias correction of OLSE in the regression model with lagged dependent variables.

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