Exogenous variables and asymptotic bias in dynamic models with autocorrelated errors: a note

DOI10.1016/0165-1765(85)90052-7MaRDI QIDQ375136zbMATH OpenOpenAlexFDO

Authors P. Sevestre

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(85)90052-7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3655230 (Why is no real title available?)
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors

Cited in

(4)

• The determinants of cumulative endogeneity bias in multivariate analysis
• A note on autoregressive error components models
• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors

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