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

Economics Letters

Volumn 89, Issue 1, 2005, Pages 75-82

  van Giersbergen, Noud P A ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Autoregressive models; Estimation bias; Large sample asymptotics; Nagar expansions

Indexed keywords

EID: 24344493899     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.05.013     Document Type: Article

References (7)

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3. W.A. Fuller Introduction to Statistical Time Series 1976 John Wiley New York
4. W. Kang D.W. Shin Y. Lee Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend Journal of Statistical Planning and Inference 116 2003 163-176
5. F.H.C. Marriot J.A. Pope Bias in the estimation of autocorrelations Biometrika 61 1954 393-403
6. A.L. Nagar The bias and moment matrix of the general k-class estimators of the parameters in simultaneous equations Econometrica 27 1959 575-595
7. P. Shaman R.A. Stine The bias of autoregressive coefficient estimators Journal of the American Statistical Association 83 1988 842-848