Dwk. Andrews et Hy. Chen, APPROXIMATELY MEDIAN-UNBIASED ESTIMATION OF AUTOREGRESSIVE MODELS, Journal of business & economic statistics, 12(2), 1994, pp. 187-204
This article introduces approximately median-unbiased estimators for u
nivariate AR(p) models with time trends. Confidence intervals also are
considered. The methods are applied to the Nelson-Plosser macroeconom
ic data series, the extended Nelson-Plosser macroeconomic data series
exhibit substantially greater persistence than least squares estimates
and some Bayesian estimates suggest. For example, for the extended Ne
lson-Plosser data set, 8 of the 14 series are estimated to have a unit
root, but 6 are estimated to be trend stationary. In contrast, the le
ast squares estimates indicate trend stationarity for all of the serie
s.