کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6869098 681495 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The ability to correct the bias in the stable AD(1,1) model with a feedback effect
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
The ability to correct the bias in the stable AD(1,1) model with a feedback effect
چکیده انگلیسی
The behavior of a bias-corrected (BC) estimator assuming strongly exogenous regressors is compared to the behavior of a BC estimator assuming weakly exogenous regressors, when in fact the marginal model contains a feedback mechanism. To this end, the effect of a feedback mechanism on the first-order least-squares coefficient estimation bias is examined through large-sample asymptotics in the stable AD(1,1) model. In the simulations, it appears that the valid BC estimator based on the whole system is less biased than the invalid BC estimator based on the conditional model only. Substantial efficiency gains are possible for parts of the parameter space that determine the feedback effect, although the picture is less clear when results are averaged over the whole parameter space.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 100, August 2016, Pages 186-204
نویسندگان
,