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Robust Trend Estimation for AR(1) Disturbances

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  • Fried, Roland
  • Gather, Ursula

Abstract

We discuss the robust estimation of a linear trend if the noise follows an autoregressive process of first order. We find the ordinary repeated median to perform well except for negative correlations. In this case it can be improved by a Prais-Winsten transformation using a robust autocorrelation estimator.

Suggested Citation

  • Fried, Roland & Gather, Ursula, 2004. "Robust Trend Estimation for AR(1) Disturbances," Technical Reports 2004,64, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200464
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    References listed on IDEAS

    as
    1. Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 50(4), pages 1065-1067, July.
    2. Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-128, January.
    3. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
    4. Yanyuan Ma & Marc G. Genton, 2000. "Highly Robust Estimation of the Autocovariance Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 663-684, November.
    5. Maeshiro, Asatoshi, 1976. "Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 497-500, November.
    6. Meintanis, S. G. & Donatos, G. S., 1999. "Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers," Computational Statistics & Data Analysis, Elsevier, vol. 31(3), pages 323-339, September.
    7. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
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