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Query: faculty: "FEB" and publication year: "2004"

AuthorN.P.A. van Giersbergen
TitleOn the effect of deterministic terms on the bias in stable AR models
PublisherDepartment of Quantitative Economics
Title seriesUvA Econometrics Discussion Paper
Series number2004/08
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThis paper compares the first-order bias approximation for the autoregressive (AR) coefficients in stable AR models in the presence of deterministic terms. It is shown that the bias due to inclusion of an intercept and trend is twice as large as the bias due to an intercept. For the AR(1) model, the accuracy of this approximation is investigated by simulation.
Document typeReport
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