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Content Articles in Economics

An Illustration of the Bias of OLS for Yt = λYt-1 + Ut

Pages 76-80 | Published online: 25 Mar 2010

References

  • Hurwicz , L. 1950 . “ Least-squares bias in time series ” . In Statistical inference in dynamic economic models , Edited by: Koopmans , T. C. 365 – 83 . New York : John Wiley . Cowles Commission Monograph No. 10
  • Kendall , M. G. 1954 . Note on bias in estimation of autocorrelation . Biometrika , 41 ( 3 and 4 ) : 403 – 4 .
  • Kennedy , P. 1992 . A guide to econometrics , Cambridge : MIT Press .
  • Phillips , P. C. B. 1977 . Approximations to some finite sample distributions associated with a first-order stochastic difference equation . Econometrica , 45 ( 2 ) : 463 – 86 .
  • Sawa , T. 1978 . The exact moments of the least squares estimator for the autoregressive model . Journal of Econometrics , 8 ( 2 ) : 159 – 72 .
  • White , J. S. 1961 . Asymptotic expansions for the mean and variance of the serial correlation coefficient . Biometrika , 48 ( 1 and 2 ) : 85 – 94 .

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