Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.

DOI10.1016/S0165-1765(01)00380-9zbMath1080.62537OpenAlexW2057668600MaRDI QIDQ5941016

No author found.

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00380-9

zbMATH Keywords

\(M\)-estimationConfidence intervalInstrumental variable estimationRecursive mean adjustmentUnit root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Recursive mean adjustment in time-series inferences
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Robust Statistics
• Unnamed Item