Bias-adjusted estimation in the ARX(1) model

DOI10.1016/J.CSDA.2006.07.009MaRDI QIDQ1019969zbMATH OpenOpenAlexFDO

Authors Marc S. Paolella, Simon A. Broda, Kai-Uwe Carstensen

Publication date 29 May 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.2006.07.009

zbMATH Keywords

autoregressionbias correctionsaddlepoint approximation

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Bias-adjusted estimation in the ARX(1) model
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• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
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• On typical characteristics of economic time series and the relative qualities of five autocorrelation tests
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximation for the least squares estimator in first-order autoregression
• Saddlepoint approximations
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Tail Probability Approximations
• Testing for stationarity with a break
• The exact moments of the least squares estimator for the autoregressive model
• Unit root tests with a break in innovation variance.

Cited in

(10)

• Evaluating the density of ratios of noncentral quadratic forms in normal variables
• Miscellanea. From unbiased linear estimating equations to unbiased estimators
• Bias-adjusted estimation in the ARX(1) model
• On the effect of deterministic terms on the bias in stable AR models
• On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
• The ability to correct the bias in the stable AD(1,1) model with a feedback effect
• A median-unbiased estimator of the \(AR(1)\) coefficient
• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
• Practical small sample inference for single lag subset autoregressive models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models

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