Bias-adjusted estimation in the ARX(1) model
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Publication:1019969
DOI10.1016/j.csda.2006.07.009zbMath1161.62323OpenAlexW2026617954MaRDI QIDQ1019969
Marc S. Paolella, Simon A. Broda, Kai-Uwe Carstensen
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.009
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)
Related Items (6)
The ability to correct the bias in the stable AD(1,1) model with a feedback effect ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Practical small sample inference for single lag subset autoregressive models ⋮ Evaluating the density of ratios of noncentral quadratic forms in normal variables ⋮ Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression ⋮ Bias-adjusted estimation in the ARX(1) model
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