| Andrews.Chen {BootPR} | R Documentation |
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")