Gaussian Inference in AR(1) Time Series with or without a Unit Root

• Main Authors: PHILLIPS, Peter C. B., HAN, Chirok
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/249; https://ink.library.smu.edu.sg/context/soe_research/article/1248/viewcontent/Gaussian_Inference_2008_ET.pdf
• 機構: Singapore Management University

This paper introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite-sample bias and are not sensitive to initial conditions, and the approach has the unusual advantage that a Gaussian central limit theory applies and...