NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

Cited in

(70)

Asymptotic bias of the least squares estimator for multivariate autoregressive models
On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
Discriminating between nonstationary and nearly nonstationary time series models: A simulation study
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
Approximate bias correction 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
An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
A general result on the estimation bias of ARMA models
The ability to correct the bias in the stable AD(1,1) model with a feedback effect
Nearly weighted risk minimal unbiased estimation
New distribution theory for the estimation of structural break point in mean
More effective time-series analysis and forecasting
Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
Learning about banks' net worth and the slow recovery after the financial crisis
The impact of demand parameter uncertainty on the bullwhip effect
Predictive regression under various degrees of persistence and robust long-horizon regression
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
Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
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
Assessing statistical significance in variance components linkage analysis: a theoretical justification
Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
Jackknife estimation with a unit root
Sample moments of the autocorrelations of moving average processes and a modification to bartlett'sasymptotic variance formula
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
The second-order bias and mean squared error of estimators in time-series models
Inference About the First-Order Autoregressive Coefficient
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
Bootstrap-based bias corrections for INAR count time series
Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model
Distance-Based Analysis of Ordinal Data and Ordinal Time Series
Improved estimation for Poisson INAR(1) models
Improved autoregressive forecasts in the presence of non-normal errors
Bias in the estimation of the mean reversion parameter in continuous time models
Local GMM estimation of time series models with conditional moment restrictions
Jackknife estimation of stationary autoregressive models
Indirect inference for dynamic panel models
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.
Bias in local projections
On the estimation bias in first-order bifurcating autoregressive models
Bayesian reconciliation of return predictability
Bootstrapping non-stationary and irregular time series using singular spectral analysis
Shrinkage estimation and forecasting in dynamic regression models under structural instability
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
More accurate, calibrated bootstrap confidence intervals for estimating the correlation between two time series
Long memory affine term structure models
Biases in dynamic models with fixed effects
On the bias of the least squares estimator for the first order autoregressive process

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