This function returns parameter estimates and forecasts based on Roy-Fuller medin-unbiased estimator for AR models
Usage
Roy.Fuller(x, p, h, type)
Arguments
x
a time series data set
p
AR order
h
the number of forecast period
type
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
Value
coef
Roy-Fuller parameter estimates
resid
residuals
forecast
point forecasts from Roy-Fuller parameter estimates
References
Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.
Roy, A., & Fuller, W. A. (2001). Estimation for autoregressive time series with a root near one. Journal of Business & Economic Statistics, 19(4), 482-493.