Asymptotic bias of the least squares estimator for multivariate autoregressive models
The asymptotic bias of the least squares estimator for the multivariate autoregressive models is derived. The formulas for the low order univariate autoregressive models are given in terms of the simple functions of parameters. Our results are useful to the bias correction method of the least squares estimation.
Some key wordsAsymptotic bias least squares autoregressive models multivariate time series bias correction
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