Search Results - subject:"localizing coefficient"

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012

invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the …

Persistent link: https://www.econbiz.de/10011015213

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Giraitis, Liudas; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

to the rate at which the boundary unit root case is approached using a localizing coefficient around unity. The primary … localizing coefficient is also presented. To assist in the development of the limit theory in the present case, a suitable …

Persistent link: https://www.econbiz.de/10005593612

On confidence intervals for autoregressive roots and predictive regression

Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 3, pp. 1177-1195

Persistent link: https://www.econbiz.de/10010506470

Mean and autocovariance function estimation near the boundary of stationarity

Giraitis, Liudas; Phillips, Peter C.B. - In: Journal of Econometrics 169 (2012) 2, pp. 166-178

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary...

Persistent link: https://www.econbiz.de/10010664694