Estimation bias and bias correction in reduced rank autoregressions
Author:
Affiliation:
1. Department of Economics, University of Copenhagen, Copenhagen K, Denmark
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2017.1308065
Reference54 articles.
1. The Influence of VAR Dimensions on Estimator Biases
2. Rejoinder to Comment by Doornik, Nielsen, and Rothenberg
3. Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
4. Approximately Median-Unbiased Estimation of Autoregressive Models
5. Multidimensional Stochastic Approximation Methods
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