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Bias in Regressions With a Lagged Dependent Variable

Published online by Cambridge University Press:  11 February 2009

David Grubb  and
James Symons
David Grubb
Affiliation:
OECD, Paris and University College, London
James Symons
Affiliation:
OECD, Paris and University College, London
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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.

Type
Research Article
Information
Econometric Theory , Volume 3 , Issue 3 , June 1987 , pp. 371 - 386
Copyright
Copyright © Cambridge University Press 1987

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