Title of article
On the effect of deterministic terms on the bias in stable AR models
Author/Authors
Noud P.A. van Giersbergen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
8
From page
75
To page
82
Abstract
This paper compares the estimation bias of AR coefficients in stable AR models in the presence of deterministic terms. The bias due to an intercept and trend appears to be twice as large as the bias due to an intercept
Keywords
Autoregressive models , estimation bias , Large-sample asymptotics , Nagar expansions
Journal title
Economics Letters
Serial Year
2005
Journal title
Economics Letters
Record number
435772
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