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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