Nearly weighted risk minimal unbiased estimation (Q1740270)

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Language	Label	Description	Also known as
English	Nearly weighted risk minimal unbiased estimation	scientific article

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scholarly article

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Nearly weighted risk minimal unbiased estimation (English)

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zbMATH Open document ID

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10.1016/j.jeconom.2018.11.016

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Ulrich K. Müller

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Journal of Econometrics

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publication date

30 April 2019

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

mean bias

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median bias

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autoregression

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quantile unbiased forecast

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2018.11.016

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The Barankin bound: A geometric interpretation (Corresp.)

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Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

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Unbiased instrumental variables estimation under known first-stage sign

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Locally Best Unbiased Estimates

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Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood

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The price of bias reduction when there is no unbiased estimate

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On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

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Handbook of economic forecasting. Volume 1

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Efficient Tests for General Persistent Time Variation in Regression Coefficients

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Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis

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A new look at the Barankin lower bound

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Median unbiased forecasts for highly persistent autoregressive processes

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UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION

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Locally robust tests for serial correlation in least squares regression

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THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE

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NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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Robust tests for spherical symmetry and their application to least squares regression

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Testing Statistical Hypotheses

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Approximate bias correction in econometrics

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BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

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Measuring Uncertainty about Long-Run Predictions

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Testing for the Constancy of Parameters Over Time

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First Order Autoregression: Inference, Estimation, and Prediction

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ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS

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Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

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Edgeworth and saddlepoint approximations in the first-order noncircular autoregression

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The sampling distribution of forecasts from a first-order autoregression

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Folklore Theorems, Implicit Maps, and Indirect Inference

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GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT

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NOTES ON BIAS IN ESTIMATION

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Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle

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The exact moments of the least squares estimator for the autoregressive model

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The Bias of Autoregressive Coefficient Estimators

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Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model

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Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean

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Asymptotic expansions for the mean and variance of the serial correlation coefficient

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Bias in the estimation of the mean reversion parameter in continuous time models

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Mathematics(1 entry)

mardi Publication:1740270

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