Bias-adjusted estimation in the ARX(1) model

DOI10.1016/J.CSDA.2006.07.009zbMATH Open1161.62323OpenAlexW2026617954MaRDI QIDQ1019969FDOQ1019969

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

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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)

Cites Work

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• Moments of the function of non-normal random vector with applications to econometric estimators and test statistics¹
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• Bias-adjusted estimation in the ARX(1) model
• On typical characteristics of economic time series and the relative qualities of five autocorrelation tests

Cited In (10)

• Miscellanea. From unbiased linear estimating equations to unbiased estimators
• Evaluating the density of ratios of noncentral quadratic forms in normal variables
• 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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