Mean estimation bias in least squares estimation of autoregressive processes

DOI10.1016/0304-4076(85)90046-6MaRDI QIDQ1058799zbMATH OpenOpenAlexFDO

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

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3980301 (Why is no real title available?)
• scientific article; zbMATH DE number 3725525 (Why is no real title available?)
• scientific article; zbMATH DE number 3301943 (Why is no real title available?)
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bias of some commonly-used time series estimates
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Estimation of the parameters of stochastic difference equations
• Finite sample properties of estimators for autoregressive moving average models
• First Order Autoregression: Inference, Estimation, and Prediction
• On the Calculation of the Inverse of the Error Function.

Cited in

(18)

• Estimating parameters in autoregressive models with asymmetric innovations
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• scientific article; zbMATH DE number 4028687 (Why is no real title available?)
• Ridge autoregression estimation: LS method
• Biases of correlograms and of AR representations of stationary series
• On the bias of the least squares estimator for the first order autoregressive process
• Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
• Effect of aggregation on estimators in AR(1) sequence
• scientific article; zbMATH DE number 3901862 (Why is no real title available?)
• Bias correction of OLSE in the regression model with lagged dependent variables.
• Bias reduction in autoregressive models
• A fixed point characterization for bias of autoregressive estimators
• Bias of Autoregressive Spectral Estimators
• scientific article; zbMATH DE number 4092611 (Why is no real title available?)
• The Bias of Autoregressive Coefficient Estimators
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• Small sample bias reduction of the first-order autoregressive parameter least-squares estimator

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