Gaussian Inference in AR(1) Time Series with or without a Unit Root
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |