Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series
This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the Appendix. When applied to the Nelson-Plosser (1982) data set, the main conclusion is that the confidence intervals typically are wide. The conventional emphasis on testing for whether the largest root equals one fails to convey the substantial sampling variability associated with this measure of persistence.
|Date of creation:||May 1991|
|Publication status:||published as Journal of Monetary Economics, 28 (1991) no. 3, pp. 435-450|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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