The ability to correct the bias in the stable AD(1,1) model with a feedback effect-Reference-Cited by-同舟云学术

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The ability to correct the bias in the stable AD(1,1) model with a feedback effect

Published:2016-08 Issue: Volume:100 Page:186-204
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

van Giersbergen Noud P.A.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference20 articles.

1. On the theoretical specification and sampling properties of autocorrelated time-series;Bartlett;J. R. Stat. Soc.,1946

2. Bias-adjusted estimation in the ARX(1) model;Broda;Comput. Statist. Data Anal.,2007

3. Exogeneity;Engle;Econometrica,1983

4. On the effect of deterministic terms on the bias in stable AR models;Van Giersbergen;Econom. Lett.,2005

5. Bootstrapping a stable ad model: Weak vs strong exogeneity;Van Giersbergen;Oxford Bull. Econ. Stat.,1996

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