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Original Articles

Estimating the autoregressive parameter: recursive mean adjustment and the initial condition

Pages 203-206 | Published online: 20 Aug 2006

References

References

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  • Pantula , S , Gonzalez-Farias , G and Fuller , W . 1994 . A comparison of unit root test criteria . Journal of Business and Economic Statistics , 12 : 449 – 59 .
  • Park , H and Fuller , W . 1995 . Alternative estimators and unit root tests for the autoregressive process . Journal of Time Series Analysis , 16 : 415 – 29 .
  • Shaman , P and Stine , R . 1988 . The bias of autoregressive coefficient estimators . Journal of the American Statistical Association , 83 : 842 – 48 .
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  • Tanaka , K . 1984 . An asymptotic expansion associated with maximum likelihood estimators in ARMA models . Journal of the Royal Statistical Society , B46 : 58 – 67 .

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