Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
研究了动态多元线性回归模型中最小二乘系数估计的小样本偏差，利用大样本和小扰动渐近理论推导偏差表达式，并通过模拟和实证比较了两种近似方法的优劣。
The small sample bias of the least-squares coefficient estimator is examined in the dynamic multiple linear regression model with normally distributed whitenoise disturbances and an arbitrary number of regressors which are all exogenous except for the one-period lagged-dependent variable. We employ large sample ( T → ∞) and small disturbance (σ → 0) asymptotic theory and derive and compare expressions to O ( T −1 ) and to O (σ 2 ), respectively, for the bias in the least-squares coefficient vector. In some simulations and for an empirical example, we examine the mean (squared) error of these expressions and of corrected estimation procedures that yield estimates that are unbiased to O ( T −l ) and to O (σ 2 ), respectively. The large sample approach proves to be superior, easily applicable, and capable of generating more efficient and less biased estimators.