Pekka Pere
University Teacher, Time-series econometrics

  CV (in Finnish) 
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(see also Econometric research at the Department)
Literature for the general exams (in Finnish)
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Papers:

AR(1) Models, Unit Roots, and Adjusted Profile Likelihood. Econometric Theory 19 (2003) 885-922.

Abstract: An unobserved components and a conventional first-order autoregressive (AR) model with constant are analyzed with the adjusted profile likelihood of Cox and Reid (1987, 1993). Both the unobserved components model and the Cox-Reid adjustment can provide more accurate estimates of an AR coefficient of unity. The unobserved components model yields more powerful unit-root tests. In general the most powerful test utilizes the adjustment. Under the unobserved components model the adjusted statistics follow the asymptotic distributions better than the unadjusted.
University Lecturer Pekka Pere
Department of Social Research

Mail and office:
University Lecturer Pekka Pere
Department of Mathematics and Statistics
P.O.Box 68
(Gustaf Hällströmin katu 2b)
FIN-00014 University of Helsinki
Finland

Room: A405
E-mail: pjpere@valt.helsinki.fi
Phone: +358 9 191 51473

 


Adjusted Estimates and Wald Statistics for the AR(1) Model with Constant.  Journal of Econometrics 98 (2000) 335-363.

Abstract: Adjusted profile likelihood of Cox and Reid (1993) for the autoregressive coefficient of the AR(1) model with constant yields an estimator which can be more accurate than the maximum-likelihood estimator in small samples whether the process is stationary or a random walk, and in the latter case also asymptotically. A related estimator is asymptotically distributed compactly and symmetrically around zero under a random walk but is not consistent in general. The adjusted Wald statistic can follow the asymptotic Standard Normal distribution much better than the non-adjusted under stationarity or a drifted random walk.


Proseminaariohjeet. Opetusmonisteita 3 (2000). Helsingin yliopiston kansantaloustieteen laitos.

Tiivistelmä: Ohjeiden keskeinen aihe on taito kirjoittaa ytimekkäästi, täsmällisesti ja johdonmukaisesti tieteelliselle lukijakunnalle.

Ohjeet saa tästä: Proseminaariohjeet. Huom! Ohjeet sopivat hyvin myös tilastotieteen seminaarityöskentelyyn.
This page was last updated  20.12.2011