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Subsampling confidence intervals for the autoregressive root

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  • Romano, Joseph P.
  • Wolf, Michael

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.

Suggested Citation

  • Romano, Joseph P. & Wolf, Michael, 1998. "Subsampling confidence intervals for the autoregressive root," DES - Working Papers. Statistics and Econometrics. WS 6268, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:6268
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    References listed on IDEAS

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    1. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
    2. Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
    3. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    4. Cavanagh, Christopher L. & Elliott, Graham & Stock, James H., 1995. "Inference in Models with Nearly Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 11(5), pages 1131-1147, October.
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    Cited by:

    1. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    2. 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.
    3. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
    4. Politis, Dimitris N. & Wolf, Michael & Romano, Joseph P., 1999. "Subsampling, symmetrization, and robust interpolation," DES - Working Papers. Statistics and Econometrics. WS 6343, Universidad Carlos III de Madrid. Departamento de Estadística.

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    Keywords

    Autoregressive Time Series;

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