Gaussian Inference in AR(1) Time Series with or without a Unit Root
AbstractThis note introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite sample bias, are not sensitive to initial conditions, and the approach has the unusual advantage that a Gaussian central limit theory applies and is continuous as the autoregressive coefficient passes through unity with a uniform vn rate of convergence. En route, a useful CLT for sample covariances of linear processes is given, following Phillips and Solo (1992). The approach also has useful extensions to dynamic panels.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1546.
Length: 16 pages
Date of creation: Jan 2006
Date of revision:
Publication status: Published in Econometric Theory (June 2008), 24(3): 631-650
Note: CFP 1243
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Web page: http://cowles.econ.yale.edu/
More information through EDIRC
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- 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(03), pages 631-650, June.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-ETS-2006-01-24 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
Journal of Econometrics,
Elsevier, vol. 136(1), pages 115-130, January.
- Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation for Research in Economics, Yale University.
- Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011.
"Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties,"
NBER Working Papers
17424, National Bureau of Economic Research, Inc.
- Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1003-1036, October.
- Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011.
"Uniform Asymptotic Normality In Stationary And Unit Root Autoregression,"
Cambridge University Press, vol. 27(06), pages 1117-1151, December.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," Cowles Foundation Discussion Papers 1746, Cowles Foundation for Research in Economics, Yale University.
- Qiankun Zhou & Jun Yu, 2010.
"Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes,"
20-2010, Singapore Management University, School of Economics.
- Qiankun Zhou & Jun Yu, 2012. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 11-2012, Singapore Management University, School of Economics.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
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