Dear Experts---Sorry, I need some help again. I need a very fast
estimator for small sample time-series in which the autocoefficient
can be anything between 0 and 2 (i.e., even beyond the unit-root). I
think this means that I will need to run OLS. Of course, this means
that I will run into the Hurwicz bias. So I am wondering whether
there is a reasonably fast approximate correction for the
autocoefficient, presumably as a function of N, Var(x), and estimated
a, b, and Var(e). Even a function with some reasonable amount of
lookup would be ok. (I have searched google and found nothing.)
Pointers appreciated.
sincerely, /iaw