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Asymptotic bias of the least squares estimator for multivariate autoregressive models

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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.

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Authors and Affiliations

  1. Yokohama National University, Yokohama, Japan

    Taku Yamamoto & Naoto Kunitomo

  2. University of Tokyo, Tokyo, Japan

    Taku Yamamoto & Naoto Kunitomo

Authors
  1. Taku Yamamoto
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  2. Naoto Kunitomo
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Additional information

This work was supported by National Science Foundation Grant SES79-13976 at the Institute for Mathematical Studies in the Social Sciences, Stanford University. This paper is a revision of Discussion Paper No. 504, The Center for Mathematical Studies in Economics and Management Science, Northwestern University, October 1981.

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Yamamoto, T., Kunitomo, N. Asymptotic bias of the least squares estimator for multivariate autoregressive models. Ann Inst Stat Math 36, 419–430 (1984). https://doi.org/10.1007/BF02481980

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  • DOI: https://doi.org/10.1007/BF02481980

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