| Stine.Shaman {BootPR} | R Documentation |
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")