Estimating the autoregressive parameter: recursive mean adjustment and the initial condition

Steven Cook

Applied Economics Letters, 2005, vol. 12, issue 4, 203-206

Abstract: The simulation results of Shin and So (2001) are revisited. It is shown that the properties of the initial condition of a time series have a substantial impact on the ability of recursive mean adjustment to reduce the negative bias associated with estimation of the autoregressive parameter. Interestingly, it is found that recursive mean adjustment can generate positive bias for a range of values of the initial condition.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:12:y:2005:i:4:p:203-206

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DOI: 10.1080/1350485052000337761

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