Finite sample bias of the least squares estimator in an AR(p) model: estimation, inference, simulation and examples
AbstractThis paper shows that the first order bias of least squares estimators of the coefficients of an AR(p) model is important for 'typical' macroeconomic time series and proposes a simple to apply method of bias reduction. Biases in individual coefficients often cumulate in the sum with far-reaching consequences for the cumulative impulse response function. This function, being nonlinear in the underlying coefficients, is particularly sensitive to biases when, as is often the case, the shocks are long-lived. Simulations and examples demonstrate some of the magnitudes involved.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 32 (2000)
Issue (Month): 15 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Marcus J Chambers, 2010.
"Jackknife Estimation of Stationary Autoregressive Models,"
Economics Discussion Papers
684, University of Essex, Department of Economics.
- Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.