Closed forms for asymptotic bias and variance in autoregressive models with unit roots

DOI10.1016/0377-0427(94)00069-DzbMath0836.62066MaRDI QIDQ1903663

H. D. Vinod, L. R. Shenton

Publication date: 12 December 1995

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

convergence accelerationasymptotic biaselliptic functionsvariancecontinued fractionsmaximum likelihood estimatorBernoulli numbersseries summationStieltjes seriesclosed- form analytical expressionscomputerized symbolic manipulationfirst-order autoregressive AR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Convergence acceleration methods: The past decade
• The exact moments of the least squares estimator for the autoregressive model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots: 2
• Testing for a unit root in time series regression
• ANALYSIS AND IMPROVEMENT OF PERTURBATION SERIES
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
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