GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT

Peter C. B. Phillips () and Chirok Han ()

Econometric Theory, 2008, vol. 24, issue 03, pages 631-650

Abstract: This paper introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite-sample bias and 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 rate of convergence. En route, a useful central limit theorem (CLT) for sample covariances of linear processes is given, following Phillips and Solo (1992, Annals of Statistics, 20, 971 1001). The approach also has useful extensions to dynamic panels.

Date: 2008

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Related works:
Working Paper: Gaussian Inference in AR(1) Time Series with or without a Unit Root (2006)
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