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

The simulation results of Shin and So (2001) are revisited. It is shown that the properties of the initial condition of a time series have a substantial impact on the ability of recursive mean adjustment to reduce the negative bias associated with estimation of the autoregressive parameter. Interestingly, it is found that recursive mean adjustment can generate positive bias for a range of values of the initial condition.

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Year of publication:	2005
Authors:	Cook, Steven
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 12.2005, 4, p. 203-206
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005471449