Search Results - subject:"large sample asymptotics"

Bias Correction in a Stable AD(1,1) Model

van Giersbergen, Noud P.A. - 2001

examined through large-sample asymptotics in a stable first-order autoregressive distributed-lag model with weakly exogenous …

Persistent link: https://www.econbiz.de/10010324780

Bias Correction in a Stable AD(1,1) Model

Giersbergen, Noud P.A. van - Tinbergen Instituut - 2001

examined through large-sample asymptotics in a stable first-order autoregressive distributed-lag model with weakly exogenous …

Persistent link: https://www.econbiz.de/10011256880

Bias Correction in a Stable AD(1,1) Model

Giersbergen, Noud P.A. van - Tinbergen Institute - 2001

examined through large-sample asymptotics in a stable first-order autoregressive distributed-lag model with weakly exogenous …

Persistent link: https://www.econbiz.de/10005209462

Bias correction in a stable AD(1,1) model

Giersbergen, Noud P. A. van - 2001

examined through large-sample asymptotics in a stable first-order autoregressive distributed-lag model with weakly exogenous …

Persistent link: https://www.econbiz.de/10011325660

Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models

KIVIET, JAN F.; PHILLIPS, GARRY D.A. - In: Econometrics Journal 1 (1998) RegularPapers, pp. 44-70

In the classical regression model with fixed regressors the statistic S 2 , i.e. the sum of squared residuals (SSR) divided by the number of degrees of freedom, is an unbiased estimator of the variance of the disturbances. If the model is dynamic and contains lagged-dependent explanatory...

Persistent link: https://www.econbiz.de/10005243392