Heteroscedasticity-robust estimation of autocorrelation

DOI10.1080/03610918.2017.1408826OpenAlexW2783283813MaRDI QIDQ5085929

Erhard Reschenhofer

Publication date: 30 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1408826

zbMATH Keywords

serial correlationlocation parameterbias correctiontruncated Cauchy distributionreturn series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Uses Software

• R
• zoverw

Cites Work

• On the bias of the least squares estimator for the first order autoregressive process
• On a fast, robust estimator of the mode: comparisons to other robust estimators with applications
• Approximate bias correction in econometrics
• Bias correction of OLSE in the regression model with lagged dependent variables.
• A Median-Unbiased Estimator of the AR(1) Coefficient
• An Iterative Procedure for Estimating the Mode
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• First Order Autoregression: Inference, Estimation, and Prediction
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• A Note on Estimation from a Cauchy Sample
• On Information and Sufficiency
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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