Subsampling Intervals in Autoregressive Models with Linear Time Trend
نویسندگان
چکیده
منابع مشابه
Subsampling Intervals in Autoregressive Models with Linear Time Trend by Joseph
A new method is proposed for constructing confidence intervals in autoregressive models with linear time trend. Interest focuses on the sum of the autoregressive coefficients because this parameter provides a useful scalar measure of the long-run persistence properties of an economic time series. Since the type of the limiting distribution of the corresponding OLS estimator, as well as the rate...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2001
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00242