Second Order Expansion of the T-Statistic in AR(1) Models
The purpose of this paper is to differentiate between several asymptotically valid methods for confidence set construction for the autoregressive coefficient in AR(1) models. We show that the nonparametric grid bootstrap procedure suggested by Hansen (1999, Review of Economics and Statistics 81, 594...
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| Format: | Article |
| Language: | en_US |
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Cambridge University Press
2016
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| Online Access: | http://hdl.handle.net/1721.1/105179 https://orcid.org/0000-0002-0724-5428 |