Alternative bias approximations in first-order dynamic reduced form models

DOI10.1016/S0165-1889(98)00055-4MaRDI QIDQ1292222zbMATH OpenOpenAlexFDO

Authors Jan F. Kiviet, G. D. A. Phillips, 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

zbMATH Keywords

least squares estimatorbias approximations

Mathematics Subject Classification ID

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

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• Bias assessment and reduction in linear error-correction models
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Cites work

• scientific article; zbMATH DE number 4011739 (Why is no real title available?)
• 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
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(8)

• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• The second-order bias and mean squared error of estimators in time-series models
• The ability to correct the bias in the stable AD(1,1) model with a feedback effect
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Small sample bias reduction of the first-order autoregressive parameter least-squares estimator

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