Subsampling confidence intervals for the autoregressive root

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dc.contributor.author Romano, Joseph P.
dc.contributor.author Wolf, Michael
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-01-04T14:28:06Z
dc.date.available 2010-01-04T14:28:06Z
dc.date.issued 1998-10
dc.identifier.uri http://hdl.handle.net/10016/6268
dc.description.abstract In this paper, we propose a new method for constructing confidence intervals for the autoregressive parameter of an AR(I) model. Our method works when the parameter equals one, is close to one, or is far away from one and is therefore more general than previous procedures. The crux of the method is to recompute the OLS t-statistics for the AR(I) parameter on smaller blocks of the observed sequence, according to the subsampling approach of Politis and Romano (1994). Some simulation studies show good finite sample properties of our intervals.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 98-74-33
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Autoregressive Time Series
dc.subject.other Local-To-Unity Asymptotics
dc.subject.other Subsampling
dc.subject.other Unit roots
dc.title Subsampling confidence intervals for the autoregressive root
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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