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Details for article 7 of 20 found articles
| Title: |
Bias in the ordinary least squares estimator in the dynamic linear regression model with autocorrelated disturbances |
| Author: |
Inder, Brett A. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 16 (1987) nr. 3 pages 791-815 |
| Year: |
1987 |
| Contents: |
We consider the bias in the Ordinary Least Squares estimator in the linear regression model with a lagged dependent variable as regressor. Results are obtained with independent and auto-correlated disturbances. Asymptotic results are obtained analytically, and finite sample results based on a Monte Carlo study. The substantial biases found suggest the need for an alternative estimator to Ordinary Least Squares and powerful tests for autocorrelated disturbances in the dynamic model. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 7 of 20 found articles
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