Dear Stata users,
Could anyone be eager to share codes to implement the median-unbiased
estimation of Andrews (1993) or Andrews and Chen (1994) with me, please?
i would acknowledge your programs and contribution to my work.
Andrews (1993), Exactly median unbiased estimation of first order
autoregressive/unit root models, Econometrica, 61, 139-165;
Adrews and chen, 1994, Approximately median-unbiased estimation of
autoregressive models, J. of Business and economic statiscs, 12, 187-204.
Many thanks in advance.
regards,
Kai-Yin Woo
Assistant Prof.
Hong Kong Shue Yan College,
Hong Kong.
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