Confidence intervals for autoregressive coefficients near one

DOI10.1016/S0304-4076(01)00042-2zbMath0969.62058MaRDI QIDQ5939172

Graham Elliott, James H. Stock

Publication date: 29 July 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

confidence intervalsunit rootpoint optimal testssequence tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Parametric hypothesis testing (62F03)

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