Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
bias. To circumvent this problem, the present paper proposes a new procedure that allows for the possible presence of … assumptions at the origin, the bias of the new estimator is shown to disappear at a faster rate than that of the LP estimator … demonstrate the viability and the bias-reducing feature of the new estimator relative to the LP estimator in finite samples. A …