On the effect of deterministic terms on the bias in stable AR models

DOI10.1016/j.econlet.2005.05.013zbMath1254.91691OpenAlexW1967009205MaRDI QIDQ1928659

Noud P. A. van Giersbergen

Publication date: 3 January 2013

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/on-the-effect-of-deterministic-terms-on-the-bias-in-stable-ar-models(7b94c223-b80c-4589-b895-eb43b24bfbbf).html

zbMATH Keywords

autoregressive modelsestimation biasNagar expansionslarge-sample asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

The ability to correct the bias in the stable AD(1,1) model with a feedback effect ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting

Cites Work

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• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Autoregressive Coefficient Estimators
• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

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