On Confidence Intervals for Autoregressive Roots and Predictive Regression

DOI10.3982/ECTA11094zbMath1410.62068OpenAlexW2142062046MaRDI QIDQ4615873

Peter C. B. Phillips

Publication date: 29 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta11094

zbMATH Keywords

tightnessconfidence intervalcoverage probabilitylocal to unitypredictive regressionlocalizing coefficientautoregressive rootconfidence belt

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) General nonlinear regression (62J02)

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