Additional sources of bias in half-life estimation

DOI10.1016/J.CSDA.2005.12.016MaRDI QIDQ1010552zbMATH OpenOpenAlexFDO

Authors Byeongchan Seong, A. K. M. Mahbub Morshed, Sung K. Ahn

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.12.016

zbMATH Keywords

impulse response functionstructural break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in survival analysis and censored data (62N02)

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Cites work

• Are output fluctuations transitory?
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(3)

• Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
• Half-lives of currencies and aggregation bias
• Augmented half-life estimation based on high-frequency data

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