Mean estimation bias in least squares estimation of autoregressive processes

DOI10.1016/0304-4076(85)90046-6zbMath0565.62070MaRDI QIDQ1058799

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

zbMATH Keywords

Monte Carlo study; bias; reparametrization; approximate expressions; generalized least squares estimator of the mean function; least squares residuals; second-order autoregressive process; stationary AR(p) process

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

On the bias of the least squares estimator for the first order autoregressive process, Bias reduction in autoregressive models

Cites Work

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