01-120/4 - Bias Correction in a Stable AD(1,1) Model

• Author
  Noud P.A. van Giersbergen, Universiteit van Amsterdam
• Publication date
  December 13, 2001

• Keywords
  autoregressive distributed-lag models; estima-tion bias; large sample asymptotics; Nagar expansions
• JEL
  C13; C22