Bias reduction in autoregressive models
نویسنده
چکیده
It is well known that standard estimators of an AR(p) model are biased in finite samples, yet little is done in practice to remove the bias. Apparently small biases have important implications for the estimation of the impulse response function, which is a nonlinear function of the original coefficients. This note shows how to obtain estimators adjusted for first order bias based on Stine and Shaman’s fixed point characterisation of the bias (Stine, R.A., Shaman, P., 1989. A fixed point characterisation for bias of autoregressive estimators. Annals of Statistics 17, 1275-1284). 2000 Elsevier Science S.A. All rights reserved.
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