Bias reduction in autoregressive models

Economics Letters

Volumn 68, Issue 2, 2000, Pages 135-141

  Patterson, K D ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

Bias reduction; C22; First order bias; Impulse response

Indexed keywords

EID: 0034409519     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(00)00233-0     Document Type: Article

References (8)

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3. Marriott F.H.C., Pope J.A. Bias in the estimation of autocorrelations. Biometrika. 41:1954;393-403.
4. Orcutt G.H., Winokur H.S. First order autoregression: inference, estimation, and prediction. Econometrica. 37:1969;1-14.
5. Pantula S.G., Fuller W.A. Mean estimation bias in least squares estimation of autoregressive processes. Journal of Econometrics. 27:1985;99-121.
6. Shaman P., Stine R.A. The bias of autoregressive coefficient estimators. Journal of the American Statistical Association. 83:1988;842-848.
7. Stine R.A., Shaman P. A fixed point characterisation for bias of autoregressive estimators. Annals of Statistics. 17:1989;1275-1284.
8. Tjøstheim D., Paulsen J. Bias of some common time series estimates. Biometrika. 70:1983;389-399.