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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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., HAN, Chirok
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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
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