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

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

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Magister Scientiae - MSc === 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 ‘mean-unbiase...

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Bibliographic Details
Main Author: Kamanu, Timothy Kevin Kuria
Other Authors: Koen, Chris
Language:en
Published: University of the Western Cape 2013
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://hdl.handle.net/11394/2009

Internet

http://hdl.handle.net/11394/2009

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