Bias in Regressions With a Lagged Dependent Variable
Bias in Regressions With a Lagged Dependent Variable
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具有滞后因变量的回归偏差
作者：
David B Grubb;J. Symons
当其他回归变量均为外生变量时，对于滞后因变量的估计系数的偏差，我们给出了一个O（T-1）阶的表达式，其中T是样本容量。一般表达式是滞后因变量系数、外生变量自回归结构和外生变量系数的非线性函数。可能出现的最大偏倚是估计方程中外源回归变量数量的线性函数。
We give an expression to order O(T-1), where T is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive structure of the exogenous variables, and the coefficients on the exogenous variables. The maximum bias that can arise is a linear function of the number of exogenous regressors in the estimating equation.