Displaying 1 result from an estimated 1 matches for "autocoeffici".
2009 Apr 13
0
Hurwicz Bias Correction
Dear Experts---Sorry, I need some help again. I need a very fast
estimator for small sample time-series in which the autocoefficient
can be anything between 0 and 2 (i.e., even beyond the unit-root). I
think this means that I will need to run OLS. Of course, this means
that I will run into the Hurwicz bias. So I am wondering whether
there is a reasonably fast approximate correction for the
autocoefficient, presumably as a...