Median Unbiased Estimation
Posted: Mon May 23, 2011 2:53 pm
Since autoregressive models are known to be biased (yet widely used) it would be nice for eviews to incorporate a procedure that corrects this bias, such as the median unbiased estimation technique proposed by Andrews and Chen. I apologize if this is already incorporated or available as an add-in. I have conducted a detailed search and not found anything.