On Confidence Intervals for Autoregressive Roots and Predictive Regression

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Local to unity limit theory is used in applications to construct confidence intervals (CIs) for autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are asymptotically valid when the true model has an autoregressive root that is local to unity (rho = 1 + c/n), but are...

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Bibliographic Details
Main Author: Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Autoregressive root
Confidence belt
Confidence interval
Coverage probability
Local to unity
Localizing coefficient
Predictive regression
Tightness
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1830
https://ink.library.smu.edu.sg/context/soe_research/article/2829/viewcontent/ConfidenceIntervalsAutoregressiveRootsPredictiveRegression_2012_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1830
https://ink.library.smu.edu.sg/context/soe_research/article/2829/viewcontent/ConfidenceIntervalsAutoregressiveRootsPredictiveRegression_2012_pp.pdf

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