Gourieroux, Christian; Phillips, Peter C. B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2006
) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive … parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is … complicated frameworks such as nonlinear models. Monte Carlo studies show that the proposed procedure achieves substantial bias …