Mean estimation bias in least squares estimation of autoregressive processes

DOI10.1016/0304-4076(85)90046-6zbMATH Open0565.62070OpenAlexW2111385113MaRDI QIDQ1058799FDOQ1058799

Authors: Sastry G. Pantula, Wayne A. Fuller 

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/3375

Recommendations

• On the bias of the least squares estimator for the first order autoregressive process
• The Bias of Autoregressive Coefficient Estimators
• Bias of Autoregressive Spectral Estimators
• scientific article; zbMATH DE number 4092611
• scientific article; zbMATH DE number 18763
• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS

zbMATH Keywords

biasMonte Carlo studyreparametrizationapproximate expressionsgeneralized least squares estimator of the mean functionleast squares residualssecond-order autoregressive processstationary AR(p) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Estimation of the parameters of stochastic difference equations
• Title not available (Why is that?)
• Finite sample properties of estimators for autoregressive moving average models
• On the Calculation of the Inverse of the Error Function.
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• First Order Autoregression: Inference, Estimation, and Prediction
• Bias of some commonly-used time series estimates
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (17)

• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Title not available (Why is that?)
• Ridge autoregression estimation: LS method
• Biases of correlograms and of AR representations of stationary series
• Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
• On the bias of the least squares estimator for the first order autoregressive process
• Effect of aggregation on estimators in AR(1) sequence
• Title not available (Why is that?)
• Bias correction of OLSE in the regression model with lagged dependent variables.
• Bias of Autoregressive Spectral Estimators
• A fixed point characterization for bias of autoregressive estimators
• Bias reduction in autoregressive models
• Title not available (Why is that?)
• The Bias of Autoregressive Coefficient Estimators
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• Estimating parameters in autoregressive models with asymmetric innovations
• Small sample bias reduction of the first-order autoregressive parameter least-squares estimator

This page was built for publication: Mean estimation bias in least squares estimation of autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1058799)