Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
Year of publication: |
2012
|
---|---|
Authors: | Kiviet, Jan F. ; Phillips, Garry D.A. |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 3705-3729
|
Publisher: |
Elsevier |
Subject: | ARX-model | Asymptotic expansion | Bias approximation | Lagged dependent variable | Monte Carlo simulation |
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