Moment approximation for least‐squares estimators in dynamic regression models with a unit root
含单位根动态回归模型中最小二乘估计量的矩近似
To find approximations for bias, variance and mean-squared error of least-squares estimators for all coefficients in a linear dynamic regression model with a unit root, we derive asymptotic expansions and examine their accuracy by simulation. It is found that in this particular context useful expansions exist only when the autoregressive model contains at least one non-redundant exogenous explanatory variable. Surprisingly, the large-sample and small-disturbance asymptotic…