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Dynamic Models for Dynamic Theories: The Ins and Outs of Lagged Dependent Variables

โœ Scribed by Keele, L.


Book ID
115468755
Publisher
Oxford University Press
Year
2006
Tongue
English
Weight
209 KB
Volume
14
Category
Article
ISSN
1047-1987

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It is well known that the ordinary least-squares estimates (OLSE) of autoregressive models are biased in small sample. In this paper, an attempt is made to obtain the unbiased estimates in the sense of median or mean. Using Monte Carlo simulation techniques, we extend the median-unbiased estimator p