In this paper we use the approximate bias expressions developed in Yu (2012) and Bao et al. (2013) to improve the … testing of the ordinary least squares or quasi-maximum likelihood estimator of the mean reversion parameter in continuous time … models. We follow the approach given in Iglesias and Phillips (2005) and Chambers (2013), where if we bias correct the …

fractional parameter. In hypothesis testing, bias correction of the estimates is readily carried out. We evaluate the biases … made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, and requires the … of N relative to T; but these can be relaxed by bias correction. For three of the estimates the biases depend only on the …

hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates … to bias caused by the individual effects, or by the consequences of eliminating them, which appears in the central limit …, though in case of two estimates these can be relaxed by bias correction, where the biases depend only on the parameters …

hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates … to bias caused by the individual effects, or by the consequences of eliminating them, which appears in the central limit …, though in case of two estimates these can be relaxed by bias correction, where the biases depend only on the parameters …

fractional parameter. In hypothesis testing, bias correction of the estimates is readily carried out. We evaluate the biases … made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, and requires the … of N relative to T; but these can be relaxed by bias correction. For three of the estimates the biases depend only on the …

It is well known that for continuous time models with a linear drift standard estimation methods yield biased … obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion … expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression …

It is well known that for continuous time models with a linear drift standard estimation methods yield biased … derive two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion … mimics the bias formula of Marriott and Pope (1954) for the discrete time model and corresponds to the bias formula of Tang …

It is well known that for continuous time models with a linear drift standard estimation methods yield biased … obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion … expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression …

Over the past two decades, considerable academic attention has been given to testing the relationship between … accounting numbers and firm value. The Linear Information Model (LIM) has become popular for testing this relationship. Most … studies find that the LIM has a negative bias relative to the stock market. Examples are Dechow et al. (1999), Myers (1999 …