A small sample confidence interval for autoregressive parameters

DOI10.1016/J.JSPI.2008.02.001MaRDI QIDQ951044zbMATH OpenOpenAlexFDO

Authors Ferebee Tunno, Colin M. Gallagher

Publication date 29 October 2008

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2008.02.001

zbMATH Keywords

time seriesinstrumental variablesunit rootlinear trendAR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)

Recommendations

• New confidence intervals for the AR(1) parameter
• Approximate confidence sets for a stationary \(AR(p)\) process
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Small-Sample Confidence Intervals
• Confidence intervals for autoregressive coefficients near one

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bias in the sample autocorrelations of fractional noise
• Bootstrapping unstable first-order autoregressive processes
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Confidence intervals for autoregressive coefficients near one
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Nonlinear instrumental variable estimation of an autoregression.
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Saddlepoint approximation for the least squares estimator in first-order autoregression
• Student's t-Test Under Symmetry Conditions
• Test Inversion Bootstrap Confidence Intervals
• The Berry-Esseen bound for Student's statistic
• The Bias of Autoregressive Coefficient Estimators
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(2)

• Practical small sample inference for single lag subset autoregressive models
• A Cauchy estimator test for autocorrelation

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