The small sample bias of the least-squares coefficient estimator is examined in the dynamic multiple linear regression model with normally distributed whitenoise disturbances and an arbitrary number of regressors which are all exogenous except for the one-period lagged-dependent variable. We...

Forecasts from a univariate autoregressive model estimated by OLS are unbiased, irrespective of whether the model fitted has the correct order; this property only requires symmetry of the distribution of the innovations. In this paper, this result is generalized to vector autoregressions and a...

A Sharpening Of Nonuniform bounds of the Berry-Esseen type initially obtained by Esseen and later generalized by Kolodjažnyĭ–who also proved that they are, in some sense, optimal–is proposed. Further, the corresponding inequalities are shown to provide uniformly improved Chebyshev bounds...

This paper gives simple nonuniform bounds on the tail areas of the permutation distribution of the usual Student's <italic>t</italic>-statistic when the observations are independent with symmetric distributions. As opposed to uniform bounds, nonuniform bounds depend on the observed sample. It is shown that the...