Advanced Search
MyIDEAS: Login to save this article or follow this journal

Inference for Autocorrelations in the Possible Presence of a Unit Root

Contents:

Author Info

  • Dimitris N. Politis
  • Joseph P. Romano
  • Michael Wolf

Abstract

We consider the problem of making inference for the autocorrelations of a time series in the possible presence of a unit root. Even when the underlying series is assumed to be strictly stationary, the robustness against a unit root is a desirable property to ensure good finite-sample coverage in case the series has a near unit root. In addition to discussing a confidence interval for the autocorrelation at a given lag, we also consider a simultaneous confidence band for the first k autocorrelations. We suggest the use of the subsampling method applied to properly studentized statistics, which results in confidence intervals and bands with asymptotically correct coverage probability. An application to practical model selection is given, while a simulation study examines finite-sample performance. Copyright 2004 Blackwell Publishing Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jtsa&volume=25&issue=2&year=2004&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 2 (03)
Pages: 251-263

as in new window
Handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:251-263

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Caggiano, Giovanni & Leonida, Leone, 2007. "A note on the empirics of the neoclassical growth model," Economics Letters, Elsevier, Elsevier, vol. 94(2), pages 170-176, February.
  2. G Caggiano & L Leonida, . "International Output Convergence: Evidence from an AutoCorrelation Function Approach," Working Papers, Business School - Economics, University of Glasgow 2006_20, Business School - Economics, University of Glasgow.
  3. Giacomini, Raffaella & Politis, Dimitris N. & White, Halbert, 2013. "A Warp-Speed Method For Conducting Monte Carlo Experiments Involving Bootstrap Estimators," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 29(03), pages 567-589, June.
  4. Le Pen, Yannick, 2011. "A pair-wise approach to output convergence between European regions," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 955-964, May.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:251-263. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.