Approximately Median-Unbiased Estimation of Autoregressive Models

REFERENCES

• Andrews , D. W. K. 1993 . “Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models,” . Econometrica , 61 : 139 – 165 .
   Web of Science ®Google Scholar
• Andrews , D. W. K. and Phillips , P. C. B. 1987 . “Best Median-Unbiased Estimation in Linear Regression With Bounded Asymmetric Loss Functions,” . Journal of the American Statistical Association , 82 : 886 – 893 .
   Web of Science ®Google Scholar
• Basawa , I. V. , Mallik , A. K. , McCormick , W. P. , Reeves , J. H. and Taylor , R. L. 1991 . “Bootstrapping Unstable First-Order Autoregressive Processes,” . The Annals of Statistics , 19 : 1098 – 1101 .
   Web of Science ®Google Scholar
• Bobkoski , M. J. 1983 . “Hypothesis Testing in Nonstationary Times Series,” , University of Wisconsin, Dept, of Statistics . unpublished Ph.D. dissertation
   Google Scholar
• Cavanagh , C. L. 1985 . “Roots Local to Unity,” , Harvard University, Dept, of Economics . unpublished manuscript
   Google Scholar
• Chan , N. H. 1988 . “The Parameter Inference for Nearly Nonstationary Time Series,” . Journal of the American Statistical Association , 83 : 857 – 862 .
   Web of Science ®Google Scholar
• Chan , N. H. and Wei , C. Z. 1987 . “Asymptotic Inference for Nearly Nonstationary AR(1) Processes,” . The Annals of Statistics , 15 : 1050 – 1063 .
   Web of Science ®Google Scholar
• DeJong , D. , Nankervis , J. C. , Savin , N. E. and Whiteman , C. H. 1992 . “The Power Problems of Unit Root Tests in Time Series With Autoregressive Errors,” . Journal of Econometrics , 53 : 323 – 343 .
   Web of Science ®Google Scholar
• DeJong , D. and Whiteman , C. H. 1991a . “Reconsidering ‘Trends and Random Walks in Macroeconomic Times Series,’” . Journal of Monetary Economics , 28 : 221 – 254 .
   Web of Science ®Google Scholar
• DeJong , D. and Whiteman , C. H. 1991b . “The Temporal Stability of Dividends and Stock Prices: Evidence From the Likelihood Function,” . American Economic Review , 81 : 600 – 617 .
   Web of Science ®Google Scholar
• Fair , R. C. 1992 . “Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations,” , Yale University, Cowles Foundation . Discussion Paper 1005
   Google Scholar
• Gallant , A. R. , Rossi , P. E. and Tauchen , G. 1993 . “Nonlinear Dynamic Structures,” . Econometrica , 61 : 871 – 907 .
   Web of Science ®Google Scholar
• Hurwicz , L. 1950 . “Least-Squares Bias in Time Series,” . In Statistical Inference in Dynamic Economic Models , Edited by: Koopmans , T. C. 365 – 383 . New York : John Wiley .
   Google Scholar
• Kendall , M. G. 1954 . “Note on Bias in the Estimation of Autocorrelation,” . Biometrika , 41 : 403 – 404 .
   Web of Science ®Google Scholar
• Lehmann , E. L. 1959 . Testing Statistical Hypotheses , New York : John Wiley .
   Google Scholar
• Marriott , F. H. C. and Pope , J. A. 1954 . “Bias in the Estimation of Autocorrelations,” . Biometrika , 41 : 390 – 402 .
   Web of Science ®Google Scholar
• Nelson , C. R. and Plosser , C. I. 1982 . “Trends and Random Walks in Macroeconomic Time Series,” . Journal of Monetary Economics , 10 : 129 – 162 .
   Web of Science ®Google Scholar
• Orcutt , G. H. and Winokur , H. S. Jr. 1969 . “First Order Autoregression: Inference, Estimation, and Prediction,” . Econometrica , 37 : 1 – 14 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. 1987 . “Toward a Unified Asymptotic Theory for Autoregression,” . Biometrika , 74 : 535 – 547 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. 1988 . “Regression Theory for Near-Integrated Times Series,” . Econometrica , 56 : 1021 – 1043 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. 1991a . “To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends,” . Journal of Applied Econometrics , 66 : 333 – 364 .
   Google Scholar
• Phillips , P. C. B. 1991b . “Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum,” . Journal of Applied Econometrics , 6 : 436 – 473 .
   Google Scholar
• Quenouille , M. H. 1949 . “Approximate Tests of Correlation in Time-Series,” . Journal of the Royal Statistical Society , 11 : 68 – 84 . Ser. B
   Google Scholar
• Quenouille , M. H. 1956 . “Notes on Bias in Estimation,” . Biometrika , 43 : 353 – 360 .
   Web of Science ®Google Scholar
• Rudebusch , G. D. 1992 . “Trends and Random Walks in Macroeconomic Time Series: A Reexamination,” . International Economic Review , 33 : 661 – 680 .
   Web of Science ®Google Scholar
• Schotman , P. and van Dijk , H. K. 1991 . “On Bayesian Routes to Unit Roots,” . Journal of Applied Econometrics , 6 : 387 – 401 .
   Web of Science ®Google Scholar
• Shiller , R. J. 1981 . “Do Stock Prices Move Too Much To Be Justified by Subsequent Changes in Dividends?” . American Economic Review , 71 : 421 – 436 .
   Web of Science ®Google Scholar
• Stine , R. A. and Shaman , P. 1989 . “A Fixed Point Characterization for Bias of Autoregressive Estimators,” . The Annals of Statistics , 17 : 1275 – 1284 .
   Web of Science ®Google Scholar
• Stock , J. H. 1991 . “Confidence Intervals for the Largest Autoregressive Root in U. S. Macroeconomic Time Series,” . Journal of Monetary Economics , 28 : 435 – 459 .
   Web of Science ®Google Scholar
• Zivot , E. and Phillips , P. C. B. 1991 . “A Bayesian Analysis of Trend Determination in Economic Time Series,” , Yale University, Cowles Foundation . Discussion Paper 1002
   Google Scholar