Bias correction of OLSE in the regression model with lagged dependent variables
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چکیده
منابع مشابه
Bias correction of OLSE in the regression model with lagged dependent variables
It is well known that the ordinary least-squares estimates (OLSE) of autoregressive models are biased in small sample. In this paper, an attempt is made to obtain the unbiased estimates in the sense of median or mean. Using Monte Carlo simulation techniques, we extend the median-unbiased estimator proposed by Andrews (1993, Econometrica 61 (1), 139–165) to the higher-order autoregressive proces...
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15 صفحه اولEstimation in functional lagged regression
The paper introduces a functional time series (lagged) regression model. The impulse response coefficients in such a model are operators acting on a separable Hilbert space, which is the function space L2 in applications. A spectral approach to the estimation of these coefficients is proposed and asymptotically justified under a general nonparametric condition on the temporal dependence of the ...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2000
ISSN: 0167-9473
DOI: 10.1016/s0167-9473(99)00108-5