The Bias of Autoregressive Coefficient Estimators

asymptotic approximation numerical simulations autoregressive model Yule-Walker estimators model order least- squares estimators bias of estimators effects of overspecification

Mathematics Subject Classification ID

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

Related Items (44)

On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods ⋮ Polarization of forecast densities: a new approach to time series classification ⋮ A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples ⋮ Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes ⋮ A note on properties of spatial yule-walker estimators ⋮ ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING ⋮ A single series representation of multiple independent ARMA processes ⋮ REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ On the effect of deterministic terms on the bias in stable AR models ⋮ How useful are DSGE macroeconomic models for forecasting? ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend ⋮ Bias in local projections ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ Generating prediction bands for path forecasts from SETAR models ⋮ Modified unit root tests and momentum threshold autoregressive processes. ⋮ Finite-sample properties of modified unit root tests in the presence of structural change. ⋮ Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests ⋮ Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation ⋮ Nearly weighted risk minimal unbiased estimation ⋮ A small sample confidence interval for autoregressive parameters ⋮ Does the labor-income process contain a unit root? Evidence from individual-specific time series ⋮ Jackknife estimation of stationary autoregressive models ⋮ Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment ⋮ Assessing Prediction Error in Autoregressive Models ⋮ Percentage points and power of a Kolmogorov-Smirnov type test for linearity in autoregressive time series ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Autoregressive-output-analysis methods revisited ⋮ Improved autoregressive forecasts in the presence of non-normal errors ⋮ Recursive mean adjustment in time-series inferences ⋮ Bias reduction in autoregressive models ⋮ Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data ⋮ Bias correction of OLSE in the regression model with lagged dependent variables. ⋮ Least Squares Bias in Time Series with Moderate Deviations from a Unit Root ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Size and power properties of powerful unit root tests in the presence of variance breaks ⋮ The robustness of modified unit root tests in the presence of GARCH ⋮ The Multistep Beveridge–Nelson Decomposition ⋮ Estimation in conditional first order autoregression with discrete support ⋮ Bias correction in ARMA models ⋮ Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.

This page was built for publication: The Bias of Autoregressive Coefficient Estimators