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    題名: Gaussian Inference in General AR(1) Models Based on Difference
    作者: 郭炳伸
    Chen, Jhih-Gang;Kuo, Biing-Shen
    貢獻者: 國貿系
    關鍵詞: AR model;difference;unit root
    日期: 2013-07
    上傳時間: 2013-11-21 14:57:15 (UTC+8)
    摘要: 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.
    關聯: Journal of Time Series Analysis, 34(4),447-453
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1111/jtsa.12031
    DOI: 10.1111/jtsa.12031
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

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