Journal Article

Bias-Adjusted Estimation in the ARX(1) Model

Computational Statistics and Data Analysis

This paper develops a new point estimator for the AR(1) coeffcient in the linear regression model with arbitrary exogenous regressors and stationary AR(1) disturbances. The construction of the estimator parallels that of the median-unbiased estimator of A

Autoren

Simon Broda
Kai Carstensen
Marc Paolella

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Erscheinungsdatum