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- W2337362013 abstract "In this paper, we derive the finite sample bias and MSE of the fully aggregated estimator (FAE) for the stationary AR(1) model with intercept, which is proposed by Han, Phillips, and Sul (2011). Our analytical results show why the FAE is less biased than the ordinary least square estimator in finite sample case and is not biased by non-normality of error distribution and by intercept term at least O(1/T ), where T is sample size. We also propose a second order unbiased FAE using the analytical result. Finally, we examine the Monte Carlo simulation and show that it is consistent with the theoretical results." @default.
- W2337362013 created "2016-06-24" @default.
- W2337362013 creator A5089553153 @default.
- W2337362013 date "2016-01-01" @default.
- W2337362013 modified "2023-09-27" @default.
- W2337362013 title "Finite Sample Bias and MSE of Fully Aggregated Estimator For AR(1) Model with a General Error Distribution" @default.
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- W2337362013 doi "https://doi.org/10.2139/ssrn.2758510" @default.
- W2337362013 hasPublicationYear "2016" @default.
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