Confidence Intervals for Autoregressive Coefficients Near One

Graham Elliott () and James H Stock

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: Often we are interested in the largest root of an autoregressive process. Available methods rely on inverting t-tests to obtain confidence intervals. However, for large autoregressive roots, t-tests do not approximate asymptotically uniformly most powerful tests and do not have optimality properties when inverted for confidence intervals. We exploit the relationship between the power of tests and accuracy of confidence intervals, and suggest methods which are asymptotically more accurate than available interval construction methods. One interval, based on inverting the P(T) or Q(T) statistic, has good asymptotic accuracy and is easy to compute.

Keywords: unit root; confidence intervals; point optimal tests (search for similar items in EconPapers)
Date: 2000-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.escholarship.org/uc/item/6ww3p59v.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Confidence intervals for autoregressive coefficients near one (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt6ww3p59v

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().