To find approximations for bias, variance and mean-squared error of least-squares estimators for all coefficients in a linear dynamic regression model with a unit root, we derive asymptotic expansions and examine their accuracy by simulation. It is found that in this particular context useful...

In dynamic regression models the least-squares coefficient estimators are biased in finite samples, and so are the usual estimators for the disturbance variance and for the variance of the coefficient estimators. By deriving the expectation of the initial terms in an expansion of the usual...