Hoque, Asraul; Peters, Tom A. Finite sample analysis of the ARMAX models. (English) Zbl 0623.62109 Sankhyā, Ser. B 48, No. 1-2, 266-283 (1986). We have derived the exact expressions for the moments of the LS estimator of the coefficient associated with the lagged dependent variable in a general distributed lag model. To give some idea as to the size of the bias and MSE of the estimator, we have also obtained the numerical values of the mean and variance of the estimator using the numerical integration technique. Cited in 4 Documents MSC: 62P20 Applications of statistics to economics 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62H12 Estimation in multivariate analysis Keywords:ARMAX models; least squares estimator; autoregressive moving average models; mean squared error; moments of ratios of quadratic forms; exogeneous variables; exact expressions for the moments; lagged dependent variable; general distributed lag model; bias; MSE; variance; numerical integration PDFBibTeX XMLCite \textit{A. Hoque} and \textit{T. A. Peters}, Sankhyā, Ser. B 48, No. 1--2, 266--283 (1986; Zbl 0623.62109)