Stine.Shaman: bias-corrected estimation based on Shaman-Stine formula

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

bias-corrected estimation based on Shaman-Stine formula

Description

The function returns parameter estimates and bias-corrected forecasts using Shaman and Stine bias formula for univariate AR models

Usage

Stine.Shaman(x, p, h, type)

Arguments

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

Value

coef	Bias-corrected parameter estimates using Shama-Stine formula
resid	residuals
forecast	point forecasts from bias-corrected parameter estimates

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.

Shaman, P., & Stine, R. A. (1988). The bias of autoregressive coefficient estimators. Journal of the American Statistical Association, 83, 842-848.

Stine, R. A., & Shaman, P. (1989). A fixed point characterization for bias of autoregressive estimators. The Annals of Statistics,17, 1275-1284.

Kilian, L. (1998a). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.

Examples

data(IPdata)
Stine.Shaman(IPdata,p=6,h=10,type="const+trend")

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