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Biases Of Estimators In Multivariate Non‐Gaussian Autoregressions

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  • Alun Lloyd Pope

Abstract

. Expressions for the bias of the least‐squares and modified Yule‐Walker estimators in a correctly specified multivariate autoregression of arbitrary order are obtained without assuming that the innovations are Gaussian. Instead, the innovations are assumed to form a martingale difference sequence which is stationary up to sixth order and which has finite sixth moments. The errors in the expressions are shown to be O(n‐3/2), as the sample size n under some moment conditions. The expressions obtained are the same in the Gaussian and non‐Gaussian cases.

Suggested Citation

  • Alun Lloyd Pope, 1990. "Biases Of Estimators In Multivariate Non‐Gaussian Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(3), pages 249-258, May.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:3:p:249-258
    DOI: 10.1111/j.1467-9892.1990.tb00056.x
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    Cited by:

    1. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
    2. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    3. Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022. "A reconsideration of the failure of uncovered interest parity for the U.S. dollar," Journal of International Economics, Elsevier, vol. 136(C).
    4. Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
    5. Brad J. Hershbein & Bryan A. Stuart, 2020. "Recessions and Local Labor Market Hysteresis," Upjohn Working Papers 20-325, W.E. Upjohn Institute for Employment Research.
    6. Lemke, Wolfgang & Werner, Thomas, 2020. "Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme," Journal of Banking & Finance, Elsevier, vol. 111(C).
    7. Micheli, Martin, 2019. "Labor market effects of minimum wage shocks," Ruhr Economic Papers 830, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Cysne, Rubens Penha, 2005. "What happens after the central bank of Brazil increases the target interbank rate by 1%?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 584, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    9. Wang, Lipeng & Zhang, Mengyu & Verousis, Thanos, 2021. "The road to economic recovery: Pandemics and innovation," International Review of Financial Analysis, Elsevier, vol. 75(C).
    10. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    11. Lusompa, Amaze, 2019. "Local Projections, Autocorrelation, and Efficiency," MPRA Paper 99856, University Library of Munich, Germany, revised 11 Apr 2020.

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