ACMUB: Median Unbiased Estimation of the AR(p) Model
by Thomas Maag
12 Apr 2009
Approximately median unbiased estimation of the AR(p) model following Andrews and Chen (1994).
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| File Information |
| Description |
This function implements approximately median unbiased (MU) estimation of the AR(p) model following Andrews, D.W.K and H.-Y. Chen (1994), "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, 12(2), 187-204.
No toolboxes are required. |
| MATLAB release |
MATLAB 7.7 (R2008b)
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