The exact moments of OLS in dynamic regression models with non-normal errors (Q1123523)
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scientific article; zbMATH DE number 4109903
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| English | The exact moments of OLS in dynamic regression models with non-normal errors |
scientific article; zbMATH DE number 4109903 |
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The exact moments of OLS in dynamic regression models with non-normal errors (English)
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1989
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ordinary least squares estimator
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autoregression
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moment-generating function
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mean square error
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finite-sample sensitivity of OLS estimators
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first-order stochastic difference equation
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Edgeworth-Gram-Charlier population
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first and second moments
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exact bias
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skewness
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kurtosis
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exact MSE
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signal to noise ratio
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0.8439323306083679
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0.8119233846664429
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0.7917237281799316
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