Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2011
standard but also more computer intensive bootstrap bias-correction method, both in terms of bias and mean squared error. Both …We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector … autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a …