Location-based estimation of the autoregressive coefficient in ARX(1) models.

Location-based estimation of the autoregressive coefficient in ARX(1) models.

Show other versions (2)

<p>In recent years, two estimators have been proposed to correct the bias exhibited by the leastsquares (LS) estimator of the lagged dependent variable (LDV) coefficient in dynamic regression models when the sample is finite. They have been termed as &lsquo === mean-unbiased&rsquo ===...

Full description

Bibliographic Details
Main Author: Kamanu, Timothy Kevin Kuria
Format: Others
Language:English
Published: 2006
Subjects:
Time series analysis
Unit root tests
Near unit root processes
Overdifferencing
Unbiased estimation of autocorrelation
Probability density of AR(1) coefficient
Non-stationary AR(1) processes
Mode estimation
Testing for stationarity versus testing for nonstationarity
Box-Jenkins modelling.
Online Access:http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_9551_1186751947

Internet

http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_9551_1186751947

Similar Items