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Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root

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By Haozhe Jiang, “Friedrich List” Faculty, Ostap Okhrin, esp. Transportation
| Wiley Online Library Verified
ANN artificial neural network AR autoregression OLS ordinary least squares 1 INTRODUCTION In this paper, we focus on estimating the first-order autoregressive process, AR(1), in the case where the autocorrelation parameter is close to one. In this situation, it is well known that the traditional OLS estimates suffer from small sample biases. Various methods have been proposed in the literature as remedies to correct this bias.
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