IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v23y2007i05p1013-1021_07.html
   My bibliography  Save this article

The Approximate Moments Of The Least Squares Estimator For The Stationary Autoregressive Model Under A General Error Distribution

Author

Listed:
  • Bao, Yong

Abstract

I derive the approximate bias and mean squared error of the least squares estimator of the autoregressive coefficient in a stationary first-order dynamic regression model, with or without an intercept, under a general error distribution. It is shown that the effects of nonnormality on the approximate moments of the least squares estimator come into play through the skewness and kurtosis coefficients of the nonnormal error distribution.The author is grateful to the co-editor Paolo Paruolo and two anonymous referees for helpful comments. The author is solely responsible for any remaining errors.

Suggested Citation

  • Bao, Yong, 2007. "The Approximate Moments Of The Least Squares Estimator For The Stationary Autoregressive Model Under A General Error Distribution," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1013-1021, October.
    • Handle: RePEc:cup:etheor:v:23:y:2007:i:05:p:1013-1021_07
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466607070405/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gareth Liu-Evans, 2021. "Improving the Estimation and Predictions of Small Time Series Models," Working Papers 202106, University of Liverpool, Department of Economics.
    2. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
    3. Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2017. "Impulse response matching estimators for DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 144-155.
    4. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
    5. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
    6. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
    7. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
    8. Liu-Evans Gareth D. & Phillips Garry D. A., 2012. "Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
    9. Kiviet, Jan F. & Phillips, Garry D.A., 2012. "Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3705-3729.
    10. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.
    11. Liu-Evans, Gareth, 2014. "A note on approximating moments of least squares estimators," MPRA Paper 57543, University Library of Munich, Germany.
    12. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
    13. Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.
    14. Aman Ullah & Yong Bao & Ru Zhang, 2014. "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers 201401, University of California at Riverside, Department of Economics.
    15. Hervé Le Bihan & Julien Matheron, 2012. "Price Stickiness and Sectoral Inflation Persistence: Additional Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1427-1442, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:23:y:2007:i:05:p:1013-1021_07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.