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The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely nonstationary first-order VAR. Specifically, we use Monte Carlo simulation and numerical optimisation…
Creator
- Lawford, Steve
- Stamatogiannis, Michalis P.
Subject
- Economics
- Economic Statistics, Econometrics, Business Informatics
- Economics
Type of item
- Zeitschriftenartikel
Creator
- Lawford, Steve
- Stamatogiannis, Michalis P.
Subject
- Economics
- Economic Statistics, Econometrics, Business Informatics
- Economics
Type of item
- Zeitschriftenartikel
Providing institution
Aggregator
Rights statement for the media in this item (unless otherwise specified)
- http://rightsstatements.org/vocab/InC/1.0/
Rights
- GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
Creation date
- 2009
- 2009
Places
- Niederlande
Provenance
- Status: Postprint; begutachtet (peer reviewed)
Source
- Journal of Econometrics, 148(2)
Identifier
- oai:gesis.izsoz.de:document/21575
- http://www.ssoar.info/ssoar/handle/document/21575
- urn:nbn:de:0168-ssoar-215759
- https://doi.org/10.1016/j.jeconom.2008.10.004
- http://www.ssoar.info/ssoar/bitstream/handle/document/21575/ssoar-jecon-2009-2-lawford_et_al-the_finite-sample_effects_of_var.pdf?sequence=1
- http://www.deutsche-digitale-bibliothek.de/item/XG5FWLW5QFIYUC5GEBGCWOAU64MFR3J2
Extent
- Seite(n): 124-130
Format
- application/pdf
Language
- eng
- eng
Year
- 2009
Providing country
- Germany
Collection name
First time published on Europeana
- 2022-01-21T09:51:58.264Z
Last time updated from providing institution
- 2022-01-21T09:51:58.264Z