Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series

Donald Andrews () and Hong-Yuan Chen

No 1026, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper introduces approximately median-unbiased estimators for univariate AR(p) models with time trends. Confidence intervals also are considered. The methods are applied to the Nelson-Plosser macroeconomic data series, the extended Nelson-Plosser macroeconomic data series, and some annual stock dividend and price series. The results show that most of the series exhibit substantially greater persistence than least squares estimates and some Bayesian estimates suggest. For example, for the extended Nelson-Plosser data set, eight of the fourteen series are estimated to have a unit root, while six are estimated to be trend stationary. In contrast, the least squares estimates indicate trend stationarity for all of the series.

Keywords: Autoregressive model; macroeconomic time series; median-unbiased estimator; unit root model (search for similar items in EconPapers)
Pages: 47 pages
Date: 1992-08
Note: CFP 867.
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Citations: View citations in EconPapers (2)

Published in Journal of Business and Economic Statistics (April 1994), 12(2): 186-204

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