Estimation bias and bias correction in reduced rank autoregressions

DOI10.1080/07474938.2017.1308065zbMath1490.62263OpenAlexW2598667595MaRDI QIDQ5860917

Heino Bohn Nielsen

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2017.1308065

zbMATH Keywords

bootstrapstochastic approximationcointegrationbias correctionvector autoregressionestimation bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

Related Items (2)

Improving the estimation and predictions of small time series models ⋮ Normalising cointegrating relationships subject to long-run exclusion

Uses Software

• Ox
• bootstrap

Cites Work

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