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On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors

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  • Toni Stocker

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  • Toni Stocker, 2007. "On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors," Statistical Papers, Springer, vol. 48(1), pages 81-93, January.
    • Handle: RePEc:spr:stpapr:v:48:y:2007:i:1:p:81-93
    DOI: 10.1007/s00362-006-0317-8
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    References listed on IDEAS

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    1. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083, November.
    2. Asatoshi Maeshiro, 1999. "A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 381-396.
    3. Maeshiro, Asatoshi, 1980. "Small Sample Properties of Estimators of Distributed Lag Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 721-733, October.
    4. Terence C. Mills, 1993. "9. Introduction to Multiple Time Series Analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 156(2), pages 325-326, March.
    5. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    6. Asatoshi Maeshiro, 1996. "Teaching Regressions with a Lagged Dependent Variable and Autocorrelated Disturbances," The Journal of Economic Education, Taylor & Francis Journals, vol. 27(1), pages 72-84, January.
    7. Maddala, G S & Rao, A S, 1973. "Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors," Econometrica, Econometric Society, vol. 41(4), pages 761-774, July.
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    Cited by:

    1. Proïa, Frédéric, 2013. "Further results on the h-test of Durbin for stable autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 77-101.

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