計量経済学
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[Abstract]
We derive the finite sample bias and mean squared error of the fully aggregated estimator (FAE) for the stationary AR(1) model with intercept, which is proposed by Han, Phillips, and Sul (2011, Econometric Theory). Our analytical results show why the FAE is less biased than the ordinary least square estimator in finite sample case and is not biased by non-normality of error distribution and by intercept term at least O(1/T ), where T is sample size. We also propose a second order unbiased FAE using the analytical result. Finally, we examine the Monte Carlo simulation and show that it is consistent with the theoretical results.