On Confidence Intervals for Autoregressive Roots and Predictive Regression
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Publication:4615873
DOI10.3982/ECTA11094zbMath1410.62068OpenAlexW2142062046MaRDI QIDQ4615873
Publication date: 29 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta11094
tightnessconfidence intervalcoverage probabilitylocal to unitypredictive regressionlocalizing coefficientautoregressive rootconfidence belt
Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) General nonlinear regression (62J02)
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