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Asymptotic bias of the least squares estimator for multivariate autoregressive models

  • Taku Yamamoto
  • Naoto Kunitomo
Article

Summary

The asymptotic bias of the least squares estimator for the multivariate autoregressive models is derived. The formulas for the low order univariate autoregressive models are given in terms of the simple functions of parameters. Our results are useful to the bias correction method of the least squares estimation.

Some key words

Asymptotic bias least squares autoregressive models multivariate time series bias correction 

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 1984

Authors and Affiliations

  • Taku Yamamoto
    • 1
    • 2
  • Naoto Kunitomo
    • 1
    • 2
  1. 1.Yokohama National UniversityYokohamaJapan
  2. 2.University of TokyoTokyoJapan

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