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Bias in the ordinary least squares estimator in the dynamic linear regression model with autocorrelated disturbances
Authors:Brett A Inder
Institution:Department of Econometrics and Operations Research , Monash University , Clayton, 3168, Australia
Abstract:We consider the bias in the Ordinary Least Squares estimator in the linear regression model with a lagged dependent variable as regressor. Results are obtained with independent and auto-correlated disturbances. Asymptotic results are obtained analytically, and finite sample results based on a Monte Carlo study. The substantial biases found suggest the need for an alternative estimator to Ordinary Least Squares and powerful tests for autocorrelated disturbances in the dynamic model.
Keywords:lagged dependent variables  autoregressive disturbances  finite sample bias  asymptotic bias
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