The ability to correct the bias in the stable AD(1,1) model with a feedback effect

DOI10.1016/j.csda.2015.04.007zbMath1466.62203OpenAlexW2077125234MaRDI QIDQ1659112

Noud P. A. van Giersbergen

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2015.04.007

zbMATH Keywords

estimation biasNagar expansionsautoregressive distributed-lag modelslarge-sample asymptotics

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• Mathematica

Cites Work

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• Bias-adjusted estimation in the ARX(1) model
• Bias correction of OLSE in the regression model with lagged dependent variables.
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• On the effect of deterministic terms on the bias in stable AR models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Exogeneity
• Dynamic Econometrics
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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