Adjusting for bias in long horizon regressions using R

DOI10.1016/BS.HOST.2019.01.006zbMATH Open1440.62339OpenAlexW2920913769MaRDI QIDQ5116809FDOQ5116809

Authors: Kenneth D. West, Zifeng Zhao 

Publication date: 18 August 2020

Published in: Handbook of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/bs.host.2019.01.006

Recommendations

• THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED¹
• Fractionally Integrated Long Horizon Regressions
• Bias assessment and reduction in linear error-correction models
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
• Tests of bias in log-periodogram regression

zbMATH Keywords

bias reductionleast squares biasVAR modelsmall sample biasdirect forecastmultistep forecast

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Uses Software

• R

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