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On the bias of the least squares estimator for the first order autoregressive process

Author

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  • Alain Breton
  • Dinh Pham

Abstract

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Suggested Citation

  • Alain Breton & Dinh Pham, 1989. "On the bias of the least squares estimator for the first order autoregressive process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(3), pages 555-563, September.
    • Handle: RePEc:spr:aistmt:v:41:y:1989:i:3:p:555-563
    DOI: 10.1007/BF00050668
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    Citations

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    Cited by:

    1. Rodolfo Cermeño, 2007. "Median-Unbiased Estimation in Panel Data: Methodology and Applications to the GDP Convergence and Purchasing Power Parity Hypotheses," Working papers DTE 407, CIDE, División de Economía.
    2. M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
    3. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
    4. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
    5. J. Roderick McCrorie, 2021. "Moments in Pearson's Four-Step Uniform Random Walk Problem and Other Applications of Very Well-Poised Generalized Hypergeometric Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 244-281, November.
    6. Jacobson, Tor & Larsson, Rolf, 1999. "Bartlett corrections in cointegration testing," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 203-225, August.

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