Search Results - subject:"Recursive mean adjustment"

Examining the evidence of purchasing power parity by recursive mean adjustment

Kim, Hyeongwoo; Moh, Young-kyu - In: Economic modelling 29 (2012) 5, pp. 1850-1857

Persistent link: https://www.econbiz.de/10009667082

Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment

Patterson, K. D. - In: Journal of Applied Statistics 34 (2007) 1, pp. 23-45

; bootstrapping; and recursive mean adjustment, RMA. In addition, we show how first-order bias correction is related to linear bias … dominates depends on the criterion adopted: bootstrapping tends to be the best at reducing bias, recursive mean adjustment is …

Persistent link: https://www.econbiz.de/10005458175

Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models

Choi, Chi-Young; Mark, Nelson C.; Sul, Donggyu - EconWPA - 2004

practice, accuracy is hampered by downward small- sample bias. Recursive mean adjustment has been found to be a useful bias … reduction strategy in the regression context. In this paper, we study recursive mean adjustment in dynamic panel data models …

Persistent link: https://www.econbiz.de/10005407881

Size and power properties of powerful unit root tests in the presence of variance breaks

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 317 (2003) 3, pp. 432-448

The standard Dickey–Fuller (DF) test is routinely employed to analyse the integrated nature of economic and financial time series. However, recent research has shown the test to suffer severe size distortion in the presence of breaks in innovation variance under the unit root null hypothesis....

Persistent link: https://www.econbiz.de/10010872205