Bias assessment and reduction in linear error-correction models

DOI10.1016/0304-4076(93)01566-5zbMath0807.62092MaRDI QIDQ1341210

Garry D. A. Phillips, Jan F. Kiviet

Publication date: 1 March 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01566-5

zbMATH Keywords

approximations; bias correction; variable transformations; dynamic regression models; ARMA(p,0,k) model; innovation errors; lagged-dependent and strongly- exogeneous explanatory variables; large- sample asymptotics; linear error-correction model; linear parameter constraints; ordinary least-squares coefficient estimator; small disturbance asymptotics; small- sample bias

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

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Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators