Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models

DOI10.1016/j.csda.2013.09.021zbMath1506.62095OpenAlexW1980943458MaRDI QIDQ1623541

Garry D. A. Phillips, Jan F. Kiviet

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www3.ntu.edu.sg/hss2/egc/wp/2012/2012-06.pdf

zbMATH Keywords

bias correctionlagged dependent variablesefficiency gainsfinite sample momentshigher-order asymptotic expansionssize improvements

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

On Sample Skewness and Kurtosis ⋮ The variances of non-parametric estimates of the cross-sectional distribution of durations ⋮ Improving the estimation and predictions of small time series models ⋮ Bias and covariance of the least squares estimate in a structured errors-in-variables problem

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