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Finite sample analysis of the ARMAX models. (English) Zbl 0623.62109

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.

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H12 Estimation in multivariate analysis
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