Andrews.Chen: Andrews-Chen median-unbiased estimation for AR models

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Andrews-Chen median-unbiased estimation for AR models

Description

This function returns the Andrews-Chen estimates for AR coefficients, residuals, and AR forecasts generated using the Andrews-Chen estimates

Usage

Andrews.Chen(x, p, h, type)

Arguments

x	a time series data set
p	AR order
h	the number of forecast periods
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

coef	Andrews-Chen median-unbiased estimates
ecm.coef	the coefficients in the ADF form
resid	residuals
forecast	point forecasts from Andrews-Chen estimates

Note

The Andrew-Chen estimator may break down when the AR order is very high. I recommend that AR order be kept low

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Andrews, D.W. K. (1993). Exactly median-unbiased estimation of first order autoregressive / unit root models. Econometrica, 61, 139-165.

Andrews, D.W. K., & Chen, H. -Y. (1994). Approximate median unbiased estimation of autoregressive models. Journal of Business & Economic Statistics, 12, 187-204.

Examples

data(IPdata)
BootBC(IPdata,p=1,h=10,nboot=200,type="const+trend")

BootPR documentation built on Aug. 31, 2023, 9:08 a.m.