政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61761

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113311/144292 (79%)
Visitors : 50940304 Online Users : 940

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/61761

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61761

Title:	Gaussian Inference in General AR(1) Models Based on Difference
Authors:	郭炳伸 Chen, Jhih-Gang;Kuo, Biing-Shen
Contributors:	國貿系
Keywords:	AR model;difference;unit root
Date:	2013-07
Issue Date:	2013-11-21 14:57:15 (UTC+8)
Abstract:	This article develops a simple difference transformation for estimation and inference in general AR(1) models. As in Paparoditis and Politis (2000, Test 9, 487–509) and Phillips and Han (2008, Econometric Theory 24, 631–650), a Gaussian limit theory with a convergence rate of inline image is available, whether a unit root is present in the process. Yet the novelty of our limit results is that the same weak convergence applies to the models with or without a trend, unlike those established in the literature. The merits promise usefulness of the difference transformation in applications to dynamic panels.
Relation:	Journal of Time Series Analysis, 34(4),447-453
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/jtsa.12031
DOI:	10.1111/jtsa.12031
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

Files in This Item:

File	Description	Size	Format
447453.pdf		583Kb	Adobe PDF2	1202	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...