The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators

DOI10.1016/j.jeconom.2008.10.004zbMath1429.62402OpenAlexW2050713455MaRDI QIDQ301969

Steve Lawford, Michalis P. Stamatogiannis

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.004

zbMATH Keywords

Monte Carlo simulationresponse surfacevector autoregressionfinite-sample biasnonstationary time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• PcGets

Cites Work

• Unnamed Item
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