On Confidence Intervals for Autoregressive Roots and Predictive Regression

• 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
• Institution: Singapore Management University

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...