Mikhail (1972a) found that estimated 2SLS biases, obtained through simulation using antithetic variables and control variate methods, were closer to each other than to Nagar's bias approximation to order T-1. As remarked by Kiviet and Phillips (1996), this result represents one of a very small...

This paper proposes a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performed one at the time. We consider the case of shifts in the mean of a possibly nonlinear process, allowing for dependent and heterogeneous observations. This is...

Asymptotic expansions are employed in a dynamic regression model with a unit root in order to find approximations for the bias, the variance and for the mean squared error of the least-squares estimator. For this purpose such expansions are shown to be useful only when the autoregressive model...