کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5058941 | 1371771 | 2014 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors](/preview/png/5058941.png)
چکیده انگلیسی
The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum likelihood estimator of the adjustment coefficients, and provide a simple characterization of the bias in case this condition is violated. A feasible bias correction method is shown to virtually eliminate the bias over a large part of the parameter space.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 122, Issue 2, February 2014, Pages 224-228
Journal: Economics Letters - Volume 122, Issue 2, February 2014, Pages 224-228
نویسندگان
Kees Jan van Garderen, H. Peter Boswijk,