Article ID Journal Published Year Pages File Type
9549328 Economics Letters 2005 8 Pages PDF
Abstract
This paper compares the estimation bias of AR coefficients in stable AR models in the presence of deterministic terms. The bias due to an intercept and trend appears to be twice as large as the bias due to an intercept.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the effect of deterministic terms on the bias in stable AR models
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