Mean estimation bias in least squares estimation of autoregressive processes

DOI10.1016/0304-4076(85)90046-6zbMath0565.62070OpenAlexW2111385113MaRDI 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 studybiasreparametrizationapproximate expressionsgeneralized least squares estimator of the mean functionleast squares residualssecond-order autoregressive processstationary AR(p) process

Mathematics Subject Classification ID

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

Related Items (2)

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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• Finite sample properties of estimators for autoregressive moving average models
• Estimation of the parameters of stochastic difference equations
• Bias of some commonly-used time series estimates
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• On the Calculation of the Inverse of the Error Function.
• First Order Autoregression: Inference, Estimation, and Prediction
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

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