Grubb, David; Symons, James - In: Econometric Theory 3 (1987) 03, pp. 371-386
We give an expression to order O(<italic>T</italic><sup>-1</sup>), where <italic>T</italic> is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive...