ACMUB: Median Unbiased Estimation of the AR(p) Model 1.0

Date Added: May 25, 2013 | Visits: 502

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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.

Requirements: No special requirements

Platforms: Matlab

Keyword: Autoregressive, Business, Economic, Estimation, Journal, Modelsquot, Required, Statistics, Toolboxes

Users rating: 0/10

License: Shareware

Size: 10 KB

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