The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
VAR 维度对 OLS 偏差、方差与最小均方误差估计的有限样本影响
Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely nonstationary first-order VAR. Specifically, we use Monte Carlo simulation and numerical optimisation to derive response surfaces for OLS bias and variance, in terms of VAR…