Carlos A. Medel

University of Nottingham

University Park

Nottingham, NG8 1BB

United Kingdom

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Scholarly Papers (1)

1.

The Out-of-Sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model

Number of pages: 10 Posted: 05 Mar 2015
Carlos A. Medel and Pablo M. Pincheira
University of Nottingham and Adolfo Ibanez University - School of Business
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Abstract:

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Near-unity autoregression; median-unbiased estimation; unbiasedness; unit root model; forecasting; forecast combinations