Bias in Regressions With a Lagged Dependent Variable

B-Tier
Journal: Econometric Theory
Year: 1987
Volume: 3
Issue: 3
Pages: 371-386

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:3:y:1987:i:03:p:371-386_01
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25