Exactly Unbiased Estimation of First Order Autoregressive/Unit Root Models
This paper is concerned with the estimation of ﬁrst-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive (AR) parameter alpha is allowed to lie in the interval (-1,1], which includes the case of a unit root. Exactly median-unbiased estimators of the AR parameter alpha are proposed. Exact conﬁdence intervals for this parameter are introduced. Corresponding exactly median-unbiased estimators and exact conﬁdence intervals are also provided for the impulse response function and the cumulative impulse response. An unbiased model selection procedure is discussed. The procedures that are introduced are applied to several data series including real exchange rates, the velocity of money, and industrial production.
Andrews, Donald W.K., "Exactly Unbiased Estimation of First Order Autoregressive/Unit Root Models" (1991). Cowles Foundation Discussion Papers. 1218.