Nearly Weighted Risk Minimal Unbiased Estimation∗
نویسندگان
چکیده
Consider a non-standard parametric estimation problem, such as the estimation of the AR(1) coefficient close to the unit root. We develop a numerical algorithm that determines an estimator that is nearly (mean or median) unbiased, and among all such estimators, comes close to minimizing a weighted average risk criterion. We demonstrate the usefulness of our generic approach by also applying it to estimation in a predictive regression, estimation of the degree of time variation, and long-range quantile point forecasts for an AR(1) process with coefficient close to unity. JEL classification: C13, C22
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