On the effect of deterministic terms on the bias in stable AR models

DOI10.1016/j.econlet.2005.05.013zbMath1254.91691MaRDI QIDQ1928659

Noud P. A. van Giersbergen

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/on-the-effect-of-deterministic-terms-on-the-bias-in-stable-ar-models(7b94c223-b80c-4589-b895-eb43b24bfbbf).html

zbMATH Keywords

autoregressive models; estimation bias; Nagar expansions; large-sample asymptotics

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

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