The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
Abstract
First-order autoregressive/unit root models with independent identically distributed normal errors are considered, including those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive parameter is allowed to lie in the interval (-1, 1], which includes the unit root case. Exactly median-unbiased estimators and exact confidence intervals of the autoregressive parameter are introduced. Corresponding exactly median-unbiased estimators and exact confidence intervals are also provided for the impulse response function, the cumulative impulse response, and the half life of a unit shock. An unbiased model selection procedure is discussed. The introduced procedures are applied to several data series. Copyright 1993 by The Econometric Society.
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,606
Testing Statistical Hypotheses
(2021) · Wiley Series in Probability and Statistics · doi:10.1002/9781119243830.ch12 · Cited by 5,106
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
A Monetary History of the United States, 1867-1960
(2017) · The SHAFR Guide Online · doi:10.1163/2468-1733_shafr_sim280020213 · Cited by 2,467
Trends and random walks in macroeconomic time series
Perron, P. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90043-7 · Cited by 2,433
Approximate Tests of Correlation in Time-Series
Quenouille, M. H. (1949) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1949.tb00023.x · Cited by 872
NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
KENDALL, M. G. (1954) · Biometrika · doi:10.1093/biomet/41.3-4.403 · Cited by 542
Bayesian skepticism on unit root econometrics
Sims, C. A. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90050-4 · Cited by 526
Understanding Unit Rooters: A Helicopter Tour
Sims, C. A., & Uhlig, H. (1991) · Econometrica · doi:10.2307/2938280 · Cited by 441
Cited by
Dynamic panel estimation and homogeneity testing under cross section dependence
Phillips, P. C. B., & Sul, D. (2003) · The Econometrics Journal · doi:10.1111/1368-423x.00108 · Cited by 1,257
Identification of and correction for publication bias
Andrews, I., & Kasy, M. (2019) · American Economic Review · doi:10.1257/aer.20180310 · Cited by 388
Forecasting autoregressive time series with bias-corrected parameter estimators
Kim, J. H. (2003) · International Journal of Forecasting · doi:10.1016/s0169-2070(02)00062-6 · Cited by 62
Metadata
- Authors
- Andrews, D. W. K.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1993-01
- Volume
- 61
- Issue
- 1
- Pages
- 139
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2119592891
- Cited by
- 470
- References
- 23
- FWCI
- 22.31
- Type
- journal article
- Language
- en
- Open access
- closed
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