Alternative bias approximations in first-order dynamic reduced form models

DOI10.1016/S0165-1889(98)00055-4zbMATH Open0918.90041OpenAlexW2122572347MaRDI QIDQ1292222FDOQ1292222

G. D. A. Phillips, Jan F. Kiviet, Bernhard Schipp

Publication date: 20 June 1999

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(98)00055-4

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zbMATH Keywords

least squares estimatorbias approximations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• The exact moments of the least squares estimator for the autoregressive model
• Bias assessment and reduction in linear error-correction models
• The Bias of the Two-Stage Least Squares Estimator
• The exact moments of OLS in dynamic regression models with non-normal errors
• Title not available (Why is that?)

Cited In (4)

• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• The second-order bias and mean squared error of estimators in time-series models
• Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
• Small sample bias reduction of the first-order autoregressive parameter least-squares estimator

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