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Estimation for Autoregressive Time Series with a Root Near 1

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Cited by:

  1. Marques, André M. & Lima, Gilberto Tadeu & Troster, Victor, 2017. "Unemployment persistence in OECD countries after the Great Recession," Economic Modelling, Elsevier, vol. 64(C), pages 105-116.
  2. Victor Bystrov, 2018. "Measuring the Natural Rates of Interest in Germany and Italy," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(4), pages 333-353, December.
  3. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
  4. Lafond, François & Greenwald, Diana & Farmer, J. Doyne, 2022. "Can Stimulating Demand Drive Costs Down? World War II as a Natural Experiment," The Journal of Economic History, Cambridge University Press, vol. 82(3), pages 727-764, September.
  5. Gao, Jie & Xu, Zhen-yuan & Zhang, Li-ting, 2009. "Approximating long-memory DNA sequences by short-memory process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3475-3485.
  6. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011. "Uniform Asymptotic Normality In Stationary And Unit Root Autoregression," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1117-1151, December.
  7. Josep Lluís Carrion‐i‐Silvestre & María Dolores Gadea & Antonio Montañés, 2021. "Nearly Unbiased Estimation of Autoregressive Models for Bounded Near‐Integrated Stochastic Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 273-297, February.
  8. Mohitosh Kejriwal & Xuewen Yu, 2019. "Generalized Forecasr Averaging in Autoregressions with a Near Unit Root," Purdue University Economics Working Papers 1318, Purdue University, Department of Economics.
  9. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017. "“Unbiased estimation of autoregressive models forbounded stochastic processes," AQR Working Papers 201710, University of Barcelona, Regional Quantitative Analysis Group, revised Dec 2017.
  10. Kim, Jae H., 2003. "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, vol. 19(3), pages 493-502.
  11. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  12. Sungju Chun & Pierre Perron, 2013. "Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3512-3528, August.
  13. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
  14. Pierre Perron & Mototsugu Shintaniz & Tomoyoshi Yabu, 2020. "Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise," Boston University - Department of Economics - Working Papers Series WP2020-012, Boston University - Department of Economics.
  15. Carlos A. Medel & Pablo M. Pincheira, 2016. "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 126-131, February.
  16. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  17. Ghoshray, Atanu & Ordóñez, Javier & Sala, Hector, 2016. "Euro, crisis and unemployment: Youth patterns, youth policies?," Economic Modelling, Elsevier, vol. 58(C), pages 442-453.
  18. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
  19. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
  20. Müller, Ulrich K. & Wang, Yulong, 2019. "Nearly weighted risk minimal unbiased estimation," Journal of Econometrics, Elsevier, vol. 209(1), pages 18-34.
  21. Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu, 2017. "Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 822-850, October.
  22. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
  23. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
  24. Atanu Ghoshray & Issam Malki & Javier Ordóñez, 2022. "On the long-run dynamics of income and wealth inequality," Empirical Economics, Springer, vol. 62(2), pages 375-408, February.
  25. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
  26. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
  27. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
  28. Carpantier, Jean-François, 2021. "Anything but gold - The golden constant revisited," Journal of Commodity Markets, Elsevier, vol. 24(C).
  29. Bastos, Guadalupe & García-Martos, Carolina, 2017. "BIAS correction for dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24029, Universidad Carlos III de Madrid. Departamento de Estadística.
  30. Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
  31. Falk, Barry & Roy, Anindya, 2005. "Forecasting using the trend model with autoregressive errors," International Journal of Forecasting, Elsevier, vol. 21(2), pages 291-302.
  32. J. Huston McCulloch, 2005. "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005 239, Society for Computational Economics.
  33. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Ghoshray, Atanu, 2022. "Trends and persistence of farm-gate coffee prices around the world," 96th Annual Conference, April 4-6, 2022, K U Leuven, Belgium 321166, Agricultural Economics Society - AES.
  35. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
  36. Francisco Estrada & Luis Filipe Martins & Pierre Perron, 2017. "Characterizing and attributing the warming trend in sea and land surface temperatures," Boston University - Department of Economics - Working Papers Series WP2017-009, Boston University - Department of Economics.
  37. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
  38. Sigrunn H. Sørbye & Pedro G. Nicolau & Håvard Rue, 2022. "Finite-sample properties of estimators for first and second order autoregressive processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 577-598, October.
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