APPROXIMATELY MEDIAN-UNBIASED ESTIMATION OF AUTOREGRESSIVE MODELS

This article introduces approximately median-unbiased estimators for univariate AR(p) models with time trends. Confidence intervals also are considered. The methods are applied to the Nelson-Plosser macroeconomic data series, the extended Nelson-Plosser macroeconomic data series exhibit substantially greater persistence than least squares estimates and some Bayesian estimates suggest. For example, for the extended Nelson-Plosser data set, 8 of the 14 series are estimated to have a unit root, but 6 are estimated to be trend stationary. In contrast, the least squares estimates indicate trend stationarity for all of the series.