On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods

DOI10.1007/s00362-005-0275-6zbMath1084.62090OpenAlexW1974971136MaRDI QIDQ819431

Yoichi Matsubayashi, Shigeyuki Hamori, Hisashi Tanizaki

Publication date: 28 March 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-005-0275-6

zbMATH Keywords

tablesbootstrap methodMonte CarloOLSEunbiased estimatorexogenous variablesAR\((p)\) modelnonnormal error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

Calibration with low bias ⋮ Asymptotic results for hybrids of empirical and partial sums processes ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Simulation-Based Bias Correction Methods for Complex Models ⋮ Estimation bias and bias correction in reduced rank autoregressions

Uses Software

• bootstrap

Cites Work

• The exact moments of OLS in dynamic regression models with non-normal errors
• Edgeworth approximations in first-order stochastic difference equations with exogenous variables
• The exact moments of the least squares estimator for the autoregressive model
• Approximate bias correction in econometrics
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• Bias correction of OLSE in the regression model with lagged dependent variables.
• Jackknife, bootstrap and other resampling methods in regression analysis
• NOTES ON BIAS IN ESTIMATION
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• An Approximation to the Distribution of the Least Square Estimator in an Autoregressive Model with Exogenous Variables
• The Bias of Autoregressive Coefficient Estimators
• Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Computing the distribution of quadratic forms in normal variables
• First Order Autoregression: Inference, Estimation, and Prediction
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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