Výsledky vyhledávání - "C32 [Finite-sample bias"

The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators

Autor: Michalis P. Stamatogiannis, Steve Lawford

Publikováno v: Econometrics
Econometrics, MDPI, 2009, 148 (2), pp 124-130. ⟨10.1016/j.jeconom.2008.10.004⟩
Journal of Econometrics

International audience; Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least s

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d95fe766510a0c1da788a2a2471e916a
https://hal.archives-ouvertes.fr/hal-00563603

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