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Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
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Publications
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
DA
Donald W. K. Andrews
Donald W. K. Andrews
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1 January 1993
journal article
Published by
JSTOR
in
Econometrica
Vol. 61
(1)
,
139
https://doi.org/10.2307/2951781
Abstract
This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models co...
Keywords
MODELS
NORMAL ERRORS
INDEPENDENT IDENTICALLY
MEDIAN UNBIASED ESTIMATION
EXACTLY MEDIAN
AUTOREGRESSIVE/UNIT
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Cited by 279 articles