BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1990.TB00056.XMaRDI QIDQ3497073zbMATH OpenOpenAlexFDO

Authors Alun Lloyd Pope

Publication date 1990

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00056.x

zbMATH Keywords

biasinnovationsleast-squares estimationmartingale difference sequencemodified Yule-Walker estimatorsmultivariate autoregression of arbitrary order

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Properties of Predictors for Autoregressive Time Series

Cited in

(19)

• Mean estimation bias in least squares estimation of autoregressive processes
• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• First inverse moment of a generalized quadratic form
• Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
• The uniform validity of impulse response inference in autoregressions
• scientific article; zbMATH DE number 6681928 (Why is no real title available?)
• scientific article; zbMATH DE number 4092611 (Why is no real title available?)
• Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures
• Confidence intervals for impulse responses under departures from normality
• Recent developments in bootstrapping time series
• The second-order bias and mean squared error of estimators in time-series models
• The bias of estimators of causal spatial autoregressive processes
• Bootstrap-based bias corrections for INAR count time series
• Bias in local projections
• Consistency of averaged impulse response estimators in vector autoregressive models
• Local projections vs. VARs: lessons from thousands of DGPs
• A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
• Inference for local projections
• Double robustness of local projections and some unpleasant varithmetic

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