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Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators

Title
Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators
Authors
Wan Shin D.Soo So B.
Ewha Authors
소병수신동완
SCOPUS Author ID
소병수scopus; 신동완scopus
Issue Date
2001
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 71, no. 2, pp. 181 - 189
Indexed
SSCI; SCOPUS scopus
Abstract
For estimating the largest root of autoregressive (AR) models, we propose an instrumental variable scheme which discounts a large value of regressors corresponding to the largest roots. The pivotal value of the estimator of the largest root is asymptotically normal for any value of the largest root. This fact allows us to construct a simple confidence interval based on ±standard error, say, with good coverage probability and shorter average length than those of [J. Monetary Economics, 28, 1991, 435-459] and [Econometrica, 61, 1993, 139-165].
DOI
10.1016/S0165-1765(01)00380-9
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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