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A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note

Maeshiro, Asatoshi - In: Applied economics 31 (1999) 3, pp. 381-396

Persistent link: https://www.econbiz.de/10001364531

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - 2019

Persistent link: https://www.econbiz.de/10012139722

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - In: The econometrics journal 24 (2021) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10012504451

Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Ali, Mukhtar M. - 1998

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of the...

Persistent link: https://www.econbiz.de/10014075760