Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
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Publication:4415854
DOI10.1111/1368-423X.12017zbMath1104.62333OpenAlexW2028099682MaRDI QIDQ4415854
Garry D. A. Phillips, Jan F. Kiviet
Publication date: 7 August 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.12017
Applications of statistics to economics (62P20) Linear inference, regression (62J99) Monte Carlo methods (65C05)
Related Items (4)
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Moment approximation for least‐squares estimators in dynamic regression models with a unit root ⋮ The bias of the 2SLS variance estimator
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