Approximately Median-Unbiased Estimation of Autoregressive Models
自回归模型的近似中位数无偏估计
This paper introduces approximately median-unbiased estimators and confidence intervals for univariate AR(p) models with time trends. The methods are applied to the Nelson-Plosser macroeconomic data series, the extended Nelson-Plosser series, and some annual stock dividend and price series. The results show that most of the series exhibit substantially greater persistence than least squares estimates and some Bayesian estimates suggest. For example, for the extended…