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Applied Economics Volume 31, 1999 - Issue 3
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Original Articles

A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note

ASATOSHI MAESHIRO
Pages 381-396 | Published online: 01 Oct 2010

Citations (5)

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Frédéric Proïa. (2018) Testing for residual correlation of any order in the autoregressive process. Communications in Statistics - Theory and Methods 47:3, pages 628-654.
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Articles from other publishers (4)

Yu Hao, Shang Gao, Yunxia Guo, Zhiqiang Gai & Haitao Wu. (2021) Measuring the nexus between economic development and environmental quality based on environmental Kuznets curve: a comparative study between China and Germany for the period of 2000–2017. Environment, Development and Sustainability 23:11, pages 16848-16873.
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Steve Lawford & Michalis P. Stamatogiannis. (2009) The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators. Journal of Econometrics 148:2, pages 124-130.
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Toni Stocker. (2007) On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors. Statistical Papers 48:1, pages 81-93.
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Junhong Yang & Alessandra Guariglia. (2012) Is Investment Inefficiency Caused by Financial Constraints or Agency Costs? Evidence from Chinese Firms. SSRN Electronic Journal.
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