One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root.

This paper examines the problem of testing and confidence set construction for one-dimensional functions of the coefficients in autoregressive (AR( p)) models with potentially persistent time series. The primary example concerns inference on impulse responses. A new asymptotic framework is suggested...

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Bibliographic Details

Published in:	Econometrica Vol. 80; no. 1; pp. 173 - 213
Main Author:	Mikusheva, Anna
Format:	Article
Published:	Wiley-Blackwell Jan2012
Subjects:	Impulse response Approximation algorithms Asymptotic distribution Statistics Least squares Mathematical models
Online Access:	View this record in EBSCOhost