Bias correction of OLSE in the regression model with lagged dependent variables.
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Publication:1583509
DOI10.1016/S0167-9473(99)00108-5zbMath1046.62094MaRDI QIDQ1583509
Publication date: 26 October 2000
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
OLSE; exogenous variables; nonnormal error; AR(p) model; lagged dependent variable; mean-unbiased estimator; median-unbiased estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
Related Items
On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods, Bias-adjusted estimation in the ARX(1) model
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