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First Order Autoregression: Inference, Estimation, and Prediction
0 references·16 citing·52 second hop
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  • 2006Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence267 cited
  • 2003Dynamic panel estimation and homogeneity testing under cross section dependence146 cited
  • 2003Measuring and modeling systematic risk in factor pricing models using high-frequency data127 cited
  • 2009Indirect inference for dynamic panel models125 cited
  • 2005Jackknifing Bond Option Prices111 cited
  • 1979The sampling distribution of forecasts from a first-order autoregression105 cited
  • 2000An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification102 cited
  • 1980Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume94 cited
  • 2001Estimation for Autoregressive Time Series With a Root Near 186 cited
  • 1972EXPORT INSTABILITY AND ECONOMIC GROWTH*78 cited
  • 2013X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION73 cited
  • 2003Forecasting autoregressive time series with bias-corrected parameter estimators63 cited
  • 2000Econometrics – Alchemy or Science?60 cited
  • 1973Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods57 cited

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  • 2000Stochastic Specification in an Aggregate Demand Model of the United Kingdom56 cited
  • 1988The exact multi-period mean-square forecast error for the first-order autoregressive model52 cited