Unbiased estimation as a solution to testing for random walks

DOI10.1016/0165-1765(94)00567-LzbMath0874.90052OpenAlexW2054842227MaRDI QIDQ1352147

Karim M. Abadir

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00567-l

zbMATH Keywords

mean squared errorC22unit root estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (5)

The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots ⋮ UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION ⋮ Adjusted estimates and Wald statistics for the AR(1) model with constant

Cites Work

• The limiting distribution of the autocorrelation coefficient under a unit root
• On the asymptotic properties of the jackknife histogram
• Asymptotic inference for nearly nonstationary AR(1) processes
• The jackknife and the bootstrap for general stationary observations
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A New Test for Nonstationarity Against the Stable Alternative
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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