The second-order bias and mean squared error of estimators in time-series models

DOI10.1016/J.JECONOM.2006.07.007zbMATH Open1247.91148OpenAlexW2106637517MaRDI QIDQ451269FDOQ451269

Aman Ullah, Yong Bao

Publication date: 23 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.007

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zbMATH Keywords

time seriesstochastic expansionhigher-order moments

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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Cited In (28)

• Higher order mean squared error of generalized method of moments estimators for nonlinear models
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Estimation bias and feasible conditional forecasts from the first-order moving average model
• Bias-correction for Weibull common shape estimation
• Joint confidence sets for structural impulse responses
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Impulse response matching estimators for DSGE models
• Bias in instrumental-variable estimators of fixed-effect models for count data
• The second-order bias and mean squared error of estimators in time-series models
• The second-order bias of quantile estimators
• Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models
• The ABC of simulation estimation with auxiliary statistics
• A general result on the estimation bias of ARMA models
• A general method for third-order bias and variance corrections on a nonlinear estimator
• On skewness and kurtosis of econometric estimators
• Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model
• The second-order asymptotic properties of asymmetric least squares estimation
• Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates
• Bias in the estimation of the mean reversion parameter in continuous time models
• Threshold spatial autoregressive model
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
• Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
• Bias in local projections
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• Jackknife estimation of stationary autoregressive models

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