Publications

Carrion-i-Silvestre, JL. ; Gadea, M.D.; Montanes, A.
  • Year: 2021
    Nearly Unbiased Estimation of Autoregressive Models for Bounded Near-Integrated Stochastic Processes. Oxford Bulletin Economics and Statistics, 83(1), 273-297
    DOI: 10.1111/obes.12399
    Abstract:

    The paper investigates the estimation bias of autoregressive models for bounded near‐integrated stochastic processes and the performance of the standard procedures in the literature that aim to correct the estimation bias. In some cases, the bounded nature of the stochastic processes worsens the estimation bias effect. The paper extends two popular autoregressive estimation bias correction procedures to cover bounded stochastic processes. Monte Carlo simulations reveal that accounting for the bounded nature of the stochastic processes leads to improvements in the estimation of autoregressive models. Finally, an illustration is given using the unemployment rate of the G7 countries.
    https://onlinelibrary-wiley-com.sire.ub.edu/doi/10.1111/obes.12399