Estimation bias and bias correction in reduced rank autoregressions
From MaRDI portal
Publication:5860917
DOI10.1080/07474938.2017.1308065zbMath1490.62263OpenAlexW2598667595MaRDI QIDQ5860917
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1308065
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)
Related Items
Improving the estimation and predictions of small time series models, Normalising cointegrating relationships subject to long-run exclusion
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Jackknife estimation with a unit root
- Jackknife estimation of stationary autoregressive models
- Indirect inference for dynamic panel models
- Testing for co-integration in vector autoregressions with non-stationary volatility
- On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
- Statistical analysis of cointegration vectors
- Approximate bias correction in econometrics
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
- Folklore Theorems, Implicit Maps, and Indirect Inference
- Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
- COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
- Bias of some commonly-used time series estimates
- NOTES ON BIAS IN ESTIMATION
- Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Acceleration of Stochastic Approximation by Averaging
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- The Influence of VAR Dimensions on Estimator Biases
- Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
- Computationally intensive econometrics using a distributed matrix-programming language
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- On Small-Sample Estimation
- Note on the median of a multivariate distribution
- A Stochastic Approximation Method
- BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Multidimensional Stochastic Approximation Methods
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
