Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models (Q1623541)
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scientific article; zbMATH DE number 6983988
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| English | Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models |
scientific article; zbMATH DE number 6983988 |
Statements
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models (English)
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23 November 2018
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bias correction
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efficiency gains
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finite sample moments
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higher-order asymptotic expansions
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lagged dependent variables
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size improvements
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0.8014063239097595
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0.7983394861221313
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0.7967059016227722
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0.7963594198226929
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