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Gaussian inference in general AR(1) models based on difference

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  • Jhih-Gang Chen
  • Biing-Shen Kuo

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  • Jhih-Gang Chen & Biing-Shen Kuo, 2013. "Gaussian inference in general AR(1) models based on difference," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 447-453, July.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:4:p:447-453
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    File URL: http://hdl.handle.net/10.1111/jtsa.12031
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    References listed on IDEAS

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    1. Han, Chirok & Phillips, Peter C. B., 2010. "Gmm Estimation For Dynamic Panels With Fixed Effects And Strong Instruments At Unity," Econometric Theory, Cambridge University Press, vol. 26(1), pages 119-151, February.
    2. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
    3. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011. "Uniform Asymptotic Normality In Stationary And Unit Root Autoregression," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1117-1151, December.
    4. Phillips, Peter C.B. & Han, Chirok, 2008. "Gaussian Inference In Ar(1) Time Series With Or Without A Unit Root," Econometric Theory, Cambridge University Press, vol. 24(3), pages 631-650, June.
    5. Efstathios Paparoditis & Dimitris Politis, 2000. "Large-sample inference in the general AR(1) model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(2), pages 487-509, December.
    6. Phillips, Peter C.B. & Magdalinos, Tassos, 2009. "Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1682-1715, December.
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    Cited by:

    1. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
    2. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.

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