The exact moments of OLS in dynamic regression models with non-normal errors
type: Item
instance of: scholarly article
title: The exact moments of OLS in dynamic regression models with non-normal errors
zbMATH Open document ID: 0677.62086
DOI: 10.1016/0304-4076(89)90086-9
author: Thomas A. Peters
published in: Journal of Econometrics
publication date: 1989-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4109903
zbMATH Keywords: ordinary least squares estimator
zbMATH Keywords: autoregression
zbMATH Keywords: moment-generating function
zbMATH Keywords: mean square error
zbMATH Keywords: finite-sample sensitivity of OLS estimators
zbMATH Keywords: first-order stochastic difference equation
zbMATH Keywords: Edgeworth-Gram-Charlier population
zbMATH Keywords: first and second moments
zbMATH Keywords: exact bias
zbMATH Keywords: skewness
zbMATH Keywords: kurtosis
zbMATH Keywords: exact MSE
zbMATH Keywords: signal to noise ratio
MaRDI profile type: Publication
full work available at URL: 0304-4076(89)90086-9
OpenAlex ID: W2022641977
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description: scientific article; zbMATH DE number 4109903