Bias reduction in autoregressive models

DOI10.1016/S0165-1765(00)00233-0zbMath0968.91024MaRDI QIDQ1575374

Kerry D. Patterson

Publication date: 21 August 2000

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

bias reductionimpulse responsefirst order bias

Mathematics Subject Classification ID

Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Statistical methods; economic indices and measures (91B82)

Related Items

A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment

Cites Work

• Mean estimation bias in least squares estimation of autoregressive processes
• A fixed point characterization for bias of autoregressive estimators
• Bias of some commonly-used time series estimates
• The Bias of Autoregressive Coefficient Estimators
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• First Order Autoregression: Inference, Estimation, and Prediction
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION