A general result on the estimation bias of ARMA models
Bao, Yong
ABS Journal Level2
AbstractA general result is derived on the finite-sample approximate bias of the Gaussian maximum likelihood estimator of the full vector of parameters in ARMA models when the error term may be nonnormally distributed and exogenous regressors may be included. It is found that there is typically estimation bias for parameters associated with the AR and MA terms and the bias depends only on these parameters themselves and the exogenous regressors. Parameters associated with the exogenous regressors are estimated approximately unbiased. The error variance is estimated with a downward bias, proportional to the number of exogenous regressors and the orders of AR and MA terms in the model. The distributional assumption on the error term does not affect the general bias result. Monte Carlo experiments are provided to illustrate the effectiveness of using analytical bias for the purpose of bias correction. (C) 2018 Elsevier B.V. All rights reserved.
KeywordARMA Maximum likelihood Bias
URLView the original
Indexed BySCI ; SSCI
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000432884800008
The Source to ArticleWOS
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Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
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Bao, Yong. A general result on the estimation bias of ARMA models[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2018,197:107-125.
APA Bao, Yong.(2018).A general result on the estimation bias of ARMA models.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,197,107-125.
MLA Bao, Yong."A general result on the estimation bias of ARMA models".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 197(2018):107-125.
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