EconPapers    
Economics at your fingertips  
 

The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model

Carlos A. Medel () and Pablo Pincheira

Applied Economics Letters, 2016, vol. 23, issue 2, 126-131

Abstract: We analyse the forecasting performance of several strategies when estimating the near-unity AR(1) model. We focus on the Andrews' (1993) exact median-unbiased estimator (BC), the OLS estimator and the driftless random walk (RW). We also explore two pairwise combinations between these strategies. We do this to investigate whether BC helps in reducing forecast errors. Via simulations, we find that BC forecasts typically outperform OLS forecasts. When BC is compared to the RW we obtain mixed results, favouring the latter while the persistence of the true process increases. Interestingly, we find that the combination of BC-RW performs well in a near-unity scheme.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2015.1057890 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Out-of-Sample Performance of An Exact Median-Unbiased Estimator for the Near-Unity Ar(1)Model (2015) Downloads
Working Paper: The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:23:y:2016:i:2:p:126-131

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2015.1057890

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-22
Handle: RePEc:taf:apeclt:v:23:y:2016:i:2:p:126-131