Wang paper on nearly weighted risk minimal unbiased estimation published in Jour of Econometrics
Feb 28, 2019
Ulrich K. Müller & Yulong Wang
Journal of Econometrics, February 2019
Consider a small-sample parametric estimation problem, such as the estimation of the coefficient in a Gaussian AR(1). The authors develop a numerical algorithm that determines an estimator that is nearly (mean or median) unbiased, and among all such estimators, comes close to minimizing a weighted average risk criterion. They also apply our generic approach to the median unbiased estimation of the degree of time variation in a Gaussian local-level model, and to a quantile unbiased point forecast for a Gaussian AR(1) process.