Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models

Donald Andrews ()

No 975, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive (AR) parameter alpha is allowed to lie in the interval (-1,1], which includes the case of a unit root. Exactly median-unbiased estimators of the AR parameter alpha are proposed. Exact confidence intervals for this parameter are introduced. Corresponding exactly median-unbiased estimators and exact confidence intervals are also provided for the impulse response function and the cumulative impulse response. An unbiased model selection procedure is discussed. The procedures that are introduced are applied to several data series including real exchange rates, the velocity of money, and industrial production.

Keywords: Autoregressive process; confidence interval; time trend; model selection; unit roots (search for similar items in EconPapers)
JEL-codes: C13 C22 C51 (search for similar items in EconPapers)
Pages: 45 pages
Date: 1991-04
Note: CFP 832.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in Econometrica (January 1993), 61(1): 139-165

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d09/d0975.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
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:cwl:cwldpp:975

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().