Moment approximation for least‐squares estimators in dynamic regression models with a unit root

DOI10.1111/j.1368-423X.2005.00156.xzbMath1073.62076OpenAlexW2032979963MaRDI QIDQ5703222

Garry D. A. Phillips, Jan F. Kiviet

Publication date: 8 November 2005

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00156.x

zbMATH Keywords

asymptotic expansionsfinite sample biassmall-drift asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (5)

Small sample properties of forecasts from autoregressive models under structural breaks ⋮ Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Practical small sample inference for single lag subset autoregressive models

Cites Work

• Approximate bias correction in econometrics
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
• The Influence of VAR Dimensions on Estimator Biases

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