The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators
Year of publication: |
2008-01
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Authors: | Lawford, Steve ; Stamatogiannis, Michalis P. |
Institutions: | Rimini Centre for Economic Analysis (RCEA) |
Subject: | Finite-sample bias | Monte Carlo simulation | nonstationary time series | response surfaces | vector autoregression |
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