Unbiased Estimation as a Solution to Testing for Random Walks

Posted: 22 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Date Written: January 21, 2012

Abstract

A new formula for the mean squared error of a unit root estimator is derived. Its minimization gives rise to an estimator which is almost unbiased, unlike the maximum likelihood estimator. For this reason, it is suggested that the problem of testing for unit roots may be solved more satisfactorily in the future by using estimation techniques that lead to smaller biases.

Suggested Citation

Abadir, Karim M., Unbiased Estimation as a Solution to Testing for Random Walks (January 21, 2012). Available at SSRN: https://ssrn.com/abstract=1989452

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

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