| Authors |
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| Publication date |
2004
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| Series |
UvA Econometrics Discussion Paper, 2004/08
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| Number of pages |
11
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| Publisher |
Amsterdam: Department of Quantitative Economics
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
This paper compares the first-order bias approximation for the autoregressive (AR) coefficients in stable AR models in the presence of deterministic terms. It is shown that the bias due to inclusion of an intercept and trend is twice as large as the bias due to an intercept. For the AR(1) model, the accuracy of this approximation is investigated by simulation.
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| Document type |
Working paper
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| Language |
English
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| Published at |
http://www1.feb.uva.nl/pp/bin/449fulltext.pdf
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