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

DOI10.1016/J.JECONOM.2006.07.007MaRDI QIDQ451269zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

time seriesstochastic expansionhigher-order moments

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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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
• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• 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
• 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-correction for Weibull common shape estimation
• 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
• Finite-sample bias of the QMLE in spatial autoregressive models
• The ABC of simulation estimation with auxiliary statistics
• A general result on the estimation bias of ARMA models
• Finite-sample properties of the maximum likelihood estimator for the Poisson regression model with random covariates
• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• 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
• Bias in the estimation of the mean reversion parameter in continuous time models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Threshold spatial autoregressive model
• 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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