On Confidence Intervals for Autoregressive Roots and Predictive Regression
Year of publication: |
2012-09
|
---|---|
Authors: | Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Autoregressive root | Confidence belt | Confidence interval | Coverage probability | Local to unity | Localizing coefficient | Predictive regression | Tightness |
-
On confidence intervals for autoregressive roots and predictive regression
Phillips, Peter C. B., (2014)
-
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
Giraitis, Liudas, (2009)
-
Mean and autocovariance function estimation near the boundary of stationarity
Giraitis, Liudas, (2012)
- More ...
-
Phillips, Peter C.B., (2008)
-
Exact Distribution Theory in Structural Estimation with an Identity
Phillips, Peter C.B., (2007)
-
Limit Theory for Moderate Deviations from a Unit Root
Phillips, Peter C.B., (2004)
- More ...