First Order Autoregression: Inference, Estimation, and Prediction

Cited in

(37)

Predictors for the first-order autoregressive process
Mean estimation bias in least squares estimation of autoregressive processes
The exact multi-period mean-square forecast error for the first-order autoregressive model
Finite sample properties of estimators for autoregressive moving average models
The first-order moving average process. Identification, estimation and prediction
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
The exact moments of the least squares estimator for the autoregressive model
The sampling distribution of forecasts from a first-order autoregression
Approximate bias correction in econometrics
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.
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
Nearly weighted risk minimal unbiased estimation
Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
Improving the estimation and predictions of small time series models
Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
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
Estimation in a first order autoregressive scheme with non—normal stable disturbances
A comparison of LS/ML and GMM estimation in a simple AR(1) model
Inference About the First-Order Autoregressive Coefficient
X-differencing and dynamic panel model estimation
Heteroscedasticity-robust estimation of autocorrelation
Improved estimation for Poisson INAR(1) models
Indirect inference for dynamic panel models
The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
On the estimation bias in first-order bifurcating autoregressive models
The role of storage in commodity markets: indirect inference based on grain 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
Learning and optimal monetary policy
The jackknife and regression with \(AR(1)\) errors

This page was built for publication: First Order Autoregression: Inference, Estimation, and Prediction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5563798)