Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
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Cited in
(68)- Additional sources of bias in half-life estimation
- Bias-adjusted estimation in the ARX(1) model
- Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
- Bootstrap prediction intervals for autoregressive time series
- Impulse response confidence intervals for persistent data: what have we learned?
- Recursive mean adjustment in time-series inferences
- Approximate bias correction in econometrics
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Nonlinear instrumental variable estimation of an autoregression.
- Bias correction of OLSE in the regression model with lagged dependent variables.
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
- Nearly weighted risk minimal unbiased estimation
- New distribution theory for the estimation of structural break point in mean
- Median unbiased forecasts for highly persistent autoregressive processes
- On median estimates and tests in autoregressive models
- Closed forms for asymptotic bias and variance in autoregressive models with unit roots
- Does the labor-income process contain a unit root? Evidence from individual-specific time series
- Practical small sample inference for single lag subset autoregressive models
- Contemporaneous aggregation of linear dynamic models in large economies
- Estimating deterministic trends with an integrated or stationary noise component
- Finite-sample properties of estimators for first and second order autoregressive processes
- Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
- One-dimensional inference in autoregressive models with the potential presence of a unit root
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
- Symmetry-based inference in an instrumental variable setting
- Testing slope homogeneity in large panels
- Uniform asymptotic normality in stationary and unit root autoregression
- Simulation-based estimation methods for financial time series models
- Asymptotic theory and unified confidence region for an autoregressive model
- BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
- Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
- Improved and extended end-of-sample instability tests using a feasible quasi-generalized least squares procedure
- Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
- Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals
- GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
- Exact likelihood inference in group interaction network models
- Median Unbiased and Maximum Likelihood Estimations of ARCH(0, 1) Coefficient
- Bootstrapping time series models
- A comparison of estimators for the first order autoregressive process with a unit root
- Heteroscedasticity-robust estimation of autocorrelation
- Second order expansion of the T-statistic in AR(1) models
- Augmented half-life estimation based on high-frequency data
- Bias in the estimation of the mean reversion parameter in continuous time models
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
- Jackknife estimation of stationary autoregressive models
- Indirect inference for dynamic panel models
- On median unbiased inference for first order autoregressive models
- Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
- Estimation bias and bias correction in reduced rank autoregressions
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- Confidence intervals for autoregressive coefficients near one
- Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Modeling long cycles
- The Grid Bootstrap for Continuous Time Models
- Estimation bias in the Ornstein-Uhlenbeck process with flow data
- Inference in a stationary/nonstationary autoregressive time-varying-parameter model
- Uniform inference for cointegrated vector autoregressive processes
- The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
- 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
- Wavelet-Variance-Based Estimation for Composite Stochastic Processes
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