Research Article Open Access

The Finite-Sample Bias of the Autoregressive Parameter Under Rank-based Estimation

Steven Cook

Abstract

Monte Carlo simulation is employed to examine the finite-sample properties of the estimated autoregressive parameter associated with the Dickey-Fuller and rank-based Dickey-Fuller unit root tests. While the downward bias associated with estimator under the Dickey-Fuller test has long been noted in the literature, the corresponding properties for the rank-based test have not been considered previously. The results presented show that in comparison to the DF test, increased bias is present for the rank-based test.

Journal of Mathematics and Statistics
Volume 1 No. 1, 2005, 1-2

DOI: https://doi.org/10.3844/jmssp.2005.1.2

Published On: 31 March 2005

How to Cite: Cook, S. (2005). The Finite-Sample Bias of the Autoregressive Parameter Under Rank-based Estimation. Journal of Mathematics and Statistics, 1(1), 1-2. https://doi.org/10.3844/jmssp.2005.1.2

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Keywords

  • Unit Roots
  • Rank-Based Testing
  • Bias