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Ols Bias in a Nonstationary Autoregression

Citations

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Cited by:

  1. Rolf Larsson, 1997. "On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 585-599, September.
  2. Abadir Karim M. & Larsson Rolf, 2012. "Biases of Correlograms and of AR Representations of Stationary Series," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-11, May.
  3. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
  4. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  5. Cheung Ip, Wai & Phillips, Garry D. A., 1998. "The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients," Economics Letters, Elsevier, vol. 60(3), pages 303-310, September.
  6. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
  7. Mukhtar Ali, 2002. "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 89-119.
  8. 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.
  9. 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.
  10. Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
  11. 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.
  12. Vougas, Dimitrios V., 2006. "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 27-34, January.
  13. He, Changli & Sandberg, Rickard, 2005. "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 582, Stockholm School of Economics.
  14. Abadir, Karim M., 1995. "Unbiased estimation as a solution to testing for random walks," Economics Letters, Elsevier, vol. 47(3-4), pages 263-268, March.
  15. Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
  16. Kaddour Hadri & Rolf Larsson & Yao Rao, 2012. "Testing For Stationarity With A Break In Panels Where The Time Dimension Is Finite," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 123-148, December.
  17. Yao Rao & Kaddour Hadri & Ruijun Bu, 2010. "Testing For Stationarity In Heterogeneous Panel Data In The Case Of Model Misspecification," Bulletin of Economic Research, Wiley Blackwell, vol. 62(3), pages 209-225, July.
  18. 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.
  19. Narangajavana, Yeamduan & Garrigos-Simon, Fernando J. & García, Javier Sanchez & Forgas-Coll, Santiago, 2014. "Prices, prices and prices: A study in the airline sector," Tourism Management, Elsevier, vol. 41(C), pages 28-42.
  20. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
  21. 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.
  22. Kaddour Hadri & Yao Rao, 2008. "Panel Stationarity Test with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 245-269, April.
  23. J. Roderick McCrorie, 2021. "Moments in Pearson's Four-Step Uniform Random Walk Problem and Other Applications of Very Well-Poised Generalized Hypergeometric Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 244-281, November.
  24. Jacobson, Tor & Larsson, Rolf, 1999. "Bartlett corrections in cointegration testing," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 203-225, August.
  25. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  26. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
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