Second Order Expansion of T-Statistic in Autoregressive Models

The purpose of this paper is to receive a second order expansion of the t-statistic in AR(1) model in local to unity asymptotic approach. I show that Hansen's (1998) method for confidence set construction achieves a second order improvement in local to unity asymptotic approach compared with Stock's (1991) and Andrews' (1993) methods

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Year of publication:	[2007]
Authors:	Mikusheva, Anna
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Autokorrelation \| Autocorrelation \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Bootstrap-Verfahren \| Bootstrap approach \| Induktive Statistik \| Statistical inference

Extent:	1 Online-Ressource (21 p)
Series:	MIT Department of Economics Working Paper ; No. 07-26
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2007 erstellt
Other identifiers:	10.2139/ssrn.1021364 [DOI]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012728869