Andrews (1993)
Posted: Tue May 17, 2016 6:22 pm
Hi Tom,
I want to estimate the exact median unbiased estimator of AR(1) model and exact confidence interval as given in the following paper by Andrews (1993).
"Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models"
Donald W. K. Andrews (1993)
Can you help me with the code?
I want to estimate the exact median unbiased estimator of AR(1) model and exact confidence interval as given in the following paper by Andrews (1993).
"Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models"
Donald W. K. Andrews (1993)
Can you help me with the code?