Bias assessment and reduction in linear error-correction models

DOI10.1016/0304-4076(93)01566-5zbMath0807.62092OpenAlexW2143529780MaRDI QIDQ1341210

Garry D. A. Phillips, Jan F. Kiviet

Publication date: 1 March 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01566-5

zbMATH Keywords

approximationsbias correctionvariable transformationsdynamic regression modelsARMA(p,0,k) modelinnovation errorslagged-dependent and strongly- exogeneous explanatory variableslarge- sample asymptoticslinear error-correction modellinear parameter constraintsordinary least-squares coefficient estimatorsmall disturbance asymptoticssmall- sample bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators