On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors

DOI10.1007/S00362-006-0317-8MaRDI QIDQ849893zbMATH OpenOpenAlexFDO

Authors Toni Stocker

Publication date 15 November 2006

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-006-0317-8

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 4147357 (Why is no real title available?)
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• scientific article; zbMATH DE number 3727972 (Why is no real title available?)
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• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A Note on Serial Correlation Bias in Estimates of Distributed Lags
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• Effects of autocorrelated errors on various least squares estimators a monte carlo study
• New evidence on the small properties of estimators of SUR models with autocorrelated disturbances
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• Time Series and Dynamic Models

Cited in

(20)

• The determinants of cumulative endogeneity bias in multivariate analysis
• Model-free tests for series correlation in multivariate linear regression
• The bias of elasticity estimators in linear regression: some analytic results
• Testing for residual correlation of any order in the autoregressive process
• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• scientific article; zbMATH DE number 4184808 (Why is no real title available?)
• Results on the bias and inconsistency of ordinary least squares for the linear probability model
• The exact moments of OLS in dynamic regression models with non-normal errors
• A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
• Exogenous variables and asymptotic bias in dynamic models with autocorrelated errors: a note
• Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends
• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
• On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking
• The effects of autocorrelation among errors on the consistency property of OLS estimator
• On the bias of the OLS estimator in a nonstationary dynamic panel data model
• Bias correction of OLSE in the regression model with lagged dependent variables.
• The role of ``leads in the dynamic OLS estimation of cointegrating regression models
• Adjusting for bias in long horizon regressions using R
• A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models

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