Johansen, Søren; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2012
In this paper we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum … second-order bias of d as a function of the initial values, X_t, t=-N_0+1,…,N, and we investigate the effect on the bias of … parameter μ picks up the effect of the initial values even for the choice N=0. If N_0=0, we show that the second-order bias can …