Uniform and distribution-free inference with general autoregressive processes

Tassos Magdalinos and Katerina Petrova

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Keywords: uniform inference; central limit theory; autoregression; predictive regression; instrumentation; mixed-Gaussianity; t-statistic; confidence intervals (search for similar items in EconPapers)
Date: 2022-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Working Paper: Uniform and Distribution-Free Inference with General Autoregressive Processes (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1837

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