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An alternative approach to approximating the moments of least squares estimators

Liu-Evans, Gareth (2010): An alternative approach to approximating the moments of least squares estimators.

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Abstract

A new methodology is presented for approximating the moments of least squares coefficient estimators in situations where endogeneity and dynamics are present. The OLS estimator is the focus here, but the method, which is valid under a simple set of smoothness and moment conditions, can be applied to related estimators. An O(T−1) approximation is presented for the bias in OLS estimation of a general ARX(p) model.

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