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

DOI10.3982/ECTA9371zbMath1274.62607MaRDI QIDQ2859054

Anna Mikusheva

Publication date: 6 November 2013

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

impulse responsegrid bootstrapuniform inferences

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY ⋮ The uniform validity of impulse response inference in autoregressions ⋮ IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ Point optimal testing with roots that are functionally local to unity ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ Hybrid stochastic local unit roots ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS

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