BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

Cited in

(50)

Bent-cable regression with autoregressive noise
Mean estimation bias in least squares estimation of autoregressive processes
Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
Differencing of random walks and near random walks
On the impact of the tests for serial correlation upon the test of significance for the regression coefficient
Approximate bias correction in econometrics
Bias correction in ARMA models
A classified bibliography of Monte Carlo studies in econometrics
Bias reduction in autoregressive models
Bias correction of OLSE in the regression model with lagged dependent variables.
Adjusted estimates and Wald statistics for the AR(1) model with constant
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
Nearly weighted risk minimal unbiased estimation
Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
On the effect of deterministic terms on the bias in stable AR models
Spatial autocorrelation and statistical tests: some solutions
A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
Small sample properties of forecasts from autoregressive models under structural breaks
Finite-sample properties of estimators for first and second order autoregressive processes
Improving the estimation and predictions of small time series models
Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
On the variance of antithetic time series
Overlapping subsampling and invariance to initial conditions
Parameter estimation and bias correction for diffusion processes
Bias Correction of Persistence Measures in Fractionally Integrated Models
Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
First-order bias correction for fractionally integrated time series
Jackknife estimation with a unit root
An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes
Asymptotic expansions for the moments of serial correlation coefficients
Estimation in a first order autoregressive scheme with non—normal stable disturbances
HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES
Effect of autocorrelation estimators on the performance of the X̄ control chart
Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
Heteroscedasticity-robust estimation of autocorrelation
Bias in the estimation of the mean reversion parameter in continuous time models
Local GMM estimation of time series models with conditional moment restrictions
Block bootstrap methods and the choice of stocks for the long run
Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
Estimation bias and bias correction in reduced rank autoregressions
Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
On the estimation bias in first-order bifurcating autoregressive models
Bootstrapping non-stationary and irregular time series using singular spectral analysis
Estimation bias in the Ornstein-Uhlenbeck process with flow data
Estimation in conditional first order autoregression with discrete support
On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
A small sample confidence interval for autoregressive parameters
Variance bound of ACF estimation of one block of fGn with LRD

This page was built for publication: BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5828373)