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.
Item Type: | MPRA Paper |
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Original Title: | An alternative approach to approximating the moments of least squares estimators |
Language: | English |
Keywords: | moment approximation; bias; finite sample |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics |
Item ID: | 26550 |
Depositing User: | Gareth Liu-Evans |
Date Deposited: | 08 Nov 2010 22:28 |
Last Modified: | 29 Sep 2019 07:29 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/26550 |
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