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The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model
Medel, Carlos A.; Pincheira, Pablo - In: Applied economics letters 23 (2016) 1/3, pp. 126-131
Persistent link: https://www.econbiz.de/10011414456
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The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model
Medel, Carlos A.; Pincheira, Pablo - 2015
Persistent link: https://www.econbiz.de/10011420443
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The Out-of-Sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model
Medel, Carlos A. - 2015
We analyse the multihorizon forecasting performance of several strategies to estimate the stationary AR(1) model in a near-unity context. We focus on the Andrews' (1993) exact median-unbiased estimator (BC), the OLS estimator, and the driftless random walk (RW). In addition, we explore the...
Persistent link: https://www.econbiz.de/10013027114