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BIAS IN THE ESTIMATION OF MULTIVARIATE AUTOREGRESSIONS
Author(s) -
Nicholls D. F.,
Pope A. L.
Publication year - 1988
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1988.tb00484.x
Subject(s) - multivariate statistics , autoregressive model , bootstrapping (finance) , econometrics , statistics , mathematics , estimation , least squares function approximation , computer science , economics , estimator , management
summary A derivation of the bias of the least squares estimate of the coefficients of a multivariate autoregressive model is presented. The explicit expression obtained is of use when, in the case of small samples, one needs to make a bias correction prior to bootstrapping.