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An Approximation to the Distribution of the Least Squares Estimator in an Autoregressive Model with Exogenous Variables

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  • Maekawa, Koichi

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  • Maekawa, Koichi, 1983. "An Approximation to the Distribution of the Least Squares Estimator in an Autoregressive Model with Exogenous Variables," Econometrica, Econometric Society, vol. 51(1), pages 229-238, January.
    • Handle: RePEc:ecm:emetrp:v:51:y:1983:i:1:p:229-38
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    Cited by:

    1. 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.
    2. Hisashi Tanizaki & Shigeyuki Hamori & Yoichi Matsubayashi, 2006. "On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods," Statistical Papers, Springer, vol. 47(1), pages 109-124, January.
    3. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
    4. Tanizaki, Hisashi, 2000. "Bias correction of OLSE in the regression model with lagged dependent variables," Computational Statistics & Data Analysis, Elsevier, vol. 34(4), pages 495-511, October.

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