Small Sample Bias Due to Misspecification in the “Partial Adjustment” and “Adaptive Expectations” Models
部分调整与适应性预期模型误设造成的小样本偏差
The “partial adjustment” and “adaptive expectations” models are simply special cases of a more general model. This fact has not been commonly recognized by investigators who have used one or the other of these two models in empirical economic research. An examination of the results of small sample experiments shows that the bias in the estimated regression coefficients and the estimated mean lag which occurs when either one of the models is fitted by least squares to data…