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Large-sample inference in the general AR(1) model

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  • Efstathios Paparoditis
  • Dimitris Politis

Abstract

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Suggested Citation

  • Efstathios Paparoditis & Dimitris Politis, 2000. "Large-sample inference in the general AR(1) model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(2), pages 487-509, December.
    • Handle: RePEc:spr:testjl:v:9:y:2000:i:2:p:487-509
    DOI: 10.1007/BF02595747
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    References listed on IDEAS

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    1. repec:cup:etheor:v:10:y:1994:i:3-4:p:672-700 is not listed on IDEAS
    2. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
    3. Radulovic, Dragan, 1996. "The bootstrap of the mean for strong mixing sequences under minimal conditions," Statistics & Probability Letters, Elsevier, vol. 28(1), pages 65-72, June.
    4. Romano, Joseph P. & Wolf, Michael, 1998. "Subsampling confidence intervals for the autoregressive root," DES - Working Papers. Statistics and Econometrics. WS 6268, Universidad Carlos III de Madrid. Departamento de Estadística.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Jhih-Gang Chen & Biing-Shen Kuo, 2013. "Gaussian inference in general AR(1) models based on difference," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 447-453, July.

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