An alternative approach to approximating the moments of least squares estimators

Gareth Liu-Evans

MPRA Paper from University Library of Munich, Germany

Abstract: A new methodology is presented for approximating the moments of least squares coefficient estimators in situations where endogeneity and dynamics are present. The OLS estimator is the focus here, but the method, which is valid under a simple set of smoothness and moment conditions, can be applied to related estimators. An O(T−1) approximation is presented for the bias in OLS estimation of a general ARX(p) model.

Keywords: moment approximation; bias; finite sample (search for similar items in EconPapers)
JEL-codes: C01 C13 (search for similar items in EconPapers)
Date: 2010-11-09
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/26600/1/MPRA_paper_26600.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26550

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