Bias in Regressions With a Lagged Dependent Variable

David Grubb and James Symons

Econometric Theory, 1987, vol. 3, issue 03, pages 371-386

Abstract: We give an expression to order O(T-1), where T is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive structure of the exogenous variables, and the coefficients on the exogenous variables. The maximum bias that can arise is a linear function of the number of exogenous regressors in the estimating equation.

Date: 1987
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