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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

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