A small sample confidence interval for autoregressive parameters

DOI10.1016/j.jspi.2008.02.001zbMath1146.62065OpenAlexW2102510744MaRDI QIDQ951044

Ferebee Tunno, Colin M. Gallagher

Publication date: 29 October 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.02.001

zbMATH Keywords

time seriesunit rootinstrumental variableslinear trendAR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

A Cauchy estimator test for autocorrelation

Cites Work

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• Confidence intervals for autoregressive coefficients near one

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