The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
نویسندگان
چکیده
منابع مشابه
Small sample bias and selection bias effects in multivariate calibration, exemplified for OLS and PLS regressions
In multivariate calibration by for example ordinary least squares (OLS) multiple regression or by partial least squares regression (PLSR) the predictor ŷ(x) is perfect for the calibration sample itself, in the sense that the regression of observed y on predicted ŷ(x) is y = ŷ(x). Plots of y against ŷ(x) are much used to illustrate how good the calibration is and how well prediction works. Usual...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2008.10.004