Half-life bias correction and the G7 stock markets

Economics Letters

Volumn 109, Issue 1, 2010, Pages 1-3

  Kim, Hyeongwoo ^a   Stern, Liliana V ^a   Stern, Michael L ^a  

^a AUBURN UNIVERSITY   (United States)

Author keywords

International equity prices; Recursive mean adjustment; Unit root process

Indexed keywords

EID: 77955207359     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2010.06.012     Document Type: Article

References (20)

1. Andrews D. Exactly median-unbiased estimation of first order autoregressive/unit root models. Econometrica 1993, 61:139-165.
2. Andrews D., Chen H.Y. Approximately median-unbiased estimation of autoregressive models. Journal of Business and Economic Statistics 1994, 12:187-204.
3. Balvers R., Wu Y., Gilliland E. Mean reversion across national stock markets and parametric contrarian investment strategies. Journal of Finance 2000, 55:745-772.
4. Chaudhuri K., Wu Y. Mean reversion in stock prices: evidence from emerging markets. Managerial Finance 2004, 30:22-37.
5. Cheung Y., Lai K.S. Lag orders and critical values of the augmented Dickey-Fuller test. Journal of Business & Economic Statistics 1995, 13:277-280.
6. Choi C.Y., Moh Y.K. On the performance of popular unit-root tests against various nonlinear dynamic models: a simulation study. Communications in Statistics-Simulation and Computation 2006, 35:105-116.
7. Choi, C.Y., Mark, N., Sul, D., 2008. Bias reduction in dynamic panel data models by common recursive mean adjustment. Manuscript.
8. Efron B., Tibshirani R. An Introduction to the Bootstrap 1993, Chapman and Hall/CRC, London.
9. Elliott G., Rothenberg T., Stock J. Efficient tests for an autoregressive unit root. Econometrica 1996, 64:813-836.
10. Gropp J. Mean reversion of industry stock returns in the U.S., 1926-1998. Journal of Empirical Finance 2004, 11:537-551.
11. Hall A. Testing for a unit root in time series with pretest data-based model selection. Journal of Business and Economic Statistics 1994, 12:461-470.
12. Hansen B. The grid bootstrap and the autoregressive model. Review of Economics and Statistics 1999, 81:594-607.
13. Kendall M.G. Note on bias in the estimation of autocorrelation. Biometrika 1954, 41:403-404.
14. Kim H. On the usefulness of the contrarian strategy across national stock markets: a grid bootstrap analysis. Journal of Empirical Finance 2009, 16:734-744.
15. Ng S., Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 2001, 69:1519-1554.
16. Shaman P., Stine R.A. The bias of autoregressive coefficient estimators. Journal of the American Statistical Association 1988, 83:842-848.
17. Shin D., So B.S. Recursive mean adjustment and tests for unit roots. Journal of Time Series Analysis 2001, 22:595-612.
18. So B.S., Shin D. Recursive mean adjustment in time-series inferences. Statistics & Probability Letters 1999, 43:65-73.
19. Tanaka K. An asymptotic expansion associated with the maximum likelihood estimators in ARMA models. Journal of the Royal Statistical Society, Ser. B 1984, 46:58-67.
20. Taylor R. Regression-based unit root tests with recursive mean adjustment for seasonal and nonseasonal time series. Journal of Business and Economics Statistics 2002, 20:269-281.