Bivariate VAR models are Monte Carlo simulated and OLS estimated, The resulting biases are used to compare two alternative approximations to the bias. They are found to be equivalent for first-order models, whereas for second-order models Nicholls and Pope's approximation outperforms Tjostheim...

A bivariate second-order VAR model of money growth and inflation is specified and estimatedby means of least squares. The bias of the parameter estimates is approximated in three ways and new, bias-reduced estimates are computed using the approximations. The effects of bias reduction on...

Two terms of a second-order approximation to the bias of the multivariate OLS estimate are derived using the same technique as in Nicholls and Pope (1988). The resulting second-order bias approximation is then tested against first-order alternatives on two bivariate Monte Carlo sijmulated VAR...