LiuEvans, 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 

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:  26600 
Depositing User:  Gareth LiuEvans 
Date Deposited:  10 Nov 2010 15:47 
Last Modified:  26 Sep 2019 23:21 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/26600 
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An alternative approach to approximating the moments of least squares estimators. (deposited 08 Nov 2010 22:28)
 An alternative approach to approximating the moments of least squares estimators. (deposited 10 Nov 2010 15:47) [Currently Displayed]