What Can Go Wrong with Yule-Walker Estimates?

Hoon, M.J.L., van der Hagen, T.H.J.J, Schoonewelle, H. and van Dam, H., "Why Yule-Walker Should Not Be Used for Autoregressive Modelling."

Shaman, P. and Stine, R.A., (1988). "The Bias of Autoregressive Coefficient Esitmators," J. Amer. Statistis. Soc. (83), 842--848.

Shaman, P. and Stine, R.A., (1989). "A Fixed Point Characterization for Bias of Autoregressive Estimators," Annals of Statistis. (17), 1276--1284.

Gateway to Algorithms

Dutoit, T., "Unusual Teaching Short-Cuts to the Levinson and Lattice Algorithms."

Assorted Research Links.

Amihud, Y. and Hurvich, C.M. (2004). "Predictive Regressions: A Reduced-Bias Esitmation Method."