Bias-Correction in Vector Autoregressive Models: A Simulation Study

Bias-Correction in Vector Autoregressive Models: A Simulation Study

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we...

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Bibliographic Details
Main Authors: Tom Engsted, Thomas Q. Pedersen
Format: Article
Language:English
Published: MDPI AG 2014-03-01
Series:Econometrics
Subjects:
bias reduction
VAR model
analytical bias formula
bootstrap
iteration
Yule-Walker
non-stationary system
skewed and fat-tailed data
Online Access:http://www.mdpi.com/2225-1146/2/1/45

Internet

http://www.mdpi.com/2225-1146/2/1/45

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