One-dimensional inference in autoregressive models with the potential presence of a unit root
This paper examines the problem of testing and confidence set construction for one-dimensional functions of the coefficients in autoregressive (AR(p)) models with potentially persistent time series. The primary example concerns inference on impulse responses. A new asymptotic framework is suggested...
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| Format: | Article |
| Language: | en_US |
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The Econometric Society
2012
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| Online Access: | http://hdl.handle.net/1721.1/72467 https://orcid.org/0000-0002-0724-5428 |