The second-order bias and mean squared error of estimators in time-series models

Journal of Econometrics

Volumn 140, Issue 2, 2007, Pages 650-669

  Bao, Yong ^a   Ullah, Aman ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Higher order moments; Stochastic expansion; Time series

Indexed keywords

LEAST SQUARES APPROXIMATIONS; LINEAR SYSTEMS; MAXIMUM LIKELIHOOD; MEAN SQUARE ERROR; NONLINEAR SYSTEMS; TIME SERIES ANALYSIS;

EXTREMUM ESTIMATORS; HIGHER-ORDER MOMENTS; NONLINEAR TIME SERIES MODELS; STOCHASTIC EXPANSION;

MATHEMATICAL MODELS;

EID: 34547652626     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.07.007     Document Type: Article

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