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Estimating the autoregressive parameter: recursive mean adjustment and the initial condition

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  • Steven Cook

Abstract

The simulation results of Shin and So (2001) are revisited. It is shown that the properties of the initial condition of a time series have a substantial impact on the ability of recursive mean adjustment to reduce the negative bias associated with estimation of the autoregressive parameter. Interestingly, it is found that recursive mean adjustment can generate positive bias for a range of values of the initial condition.

Suggested Citation

  • Steven Cook, 2005. "Estimating the autoregressive parameter: recursive mean adjustment and the initial condition," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 203-206.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:4:p:203-206
    DOI: 10.1080/1350485052000337761
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    References listed on IDEAS

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    1. Dong Wan Shin & Beong Soo So, 2001. "recursive Mean Adjustment for Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 595-612, September.
    2. Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-571, November.
    3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    4. repec:ebl:ecbull:v:3:y:2004:i:11:p:1-9 is not listed on IDEAS
    5. Steven Cook, 2004. "On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
    6. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October.
    7. Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, July.
    8. Heon Jin Park & Wayne A. Fuller, 1995. "Alternative Estimators And Unit Root Tests For The Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 415-429, July.
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