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
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
Journal title :
Economics Letters
