Confidence intervals for autoregressive coefficients near one

By Graham Elliott, James H. Stock. 2001

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5ebb37c47ac963b1f10cddcc28a94f4589439380

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Citations in the corpus

Confidence Intervals for Half-Life Deviations From Purchasing Power Parity (2005, methodology): “…in the data, “c”) is the coverage rate of the confidence intervals based on: approximate normal sampling distribution (“Normal”); unit root test (“Unit root”); Stock (1991) method (“Stock”); Elliott and Stock (2001) method (“Elliott–Stock”); Hansen (1999) grid-α bootstrap method (“Hansen”).”
Minimizing the impact of the initial condition on testing for unit roots (2006, unknown): “A similar result may also be found in Elliott and Stock (2001). We have to take care, however, how a enters the picture.”
Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series (2005, unknown): “Following this reasoning further leads to the (almost) optimal con ﬁ dence intervals for the mean reverting parameter, derived by Elliott and Stock (2001), as the best description of our knowledge about potential mean reversion.”
Small sample confidence intervals for multivariate impulse response functions at long horizons (2006, methodology): “Note that the limiting IRF depends on the largest roots, described by C, and on the cumulated short run dynamics, described by Θ (I). At long horizons, the uncertainty associated with the short run parameters is of smaller order than the uncertainty associated with the largest roots, and we can igno”
On Predicting Stock Returns with Nearly Integrated Explanatory Variables (2004, background): “Ferson et al. (2000) also explore the implications of a persistent explanatory variable on the properties of predictive regressions.”
Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, methodology): “Rossi (2002) uses the Elliott and Stock (2001) test to calculate bias-corrected confidence intervals for half-lives of PPP deviations for post-1973 quarterly US real exchange rates against 17 countries.”
Hybrid and Size-Corrected Subsampling Methods (2007, background): “…(2006), and Phillips and Magdalinos (2007), and case (ii) is the “near integrated” case that has been studied without conditional heteroskedasticity by Bobkowski (1983), Cavanagh (1985), Chan and Wei (1987), Phillips (1987), Elliott (1999), Elliott and Stock (2001), andMüller and Elliott (2003).”
Asymptotic confidence intervals for impulse responses of near‐integrated processes (2004, methodology): “5As pointed out by Elliott and Stock (2001), when the largest AR root is near one, a uniformly most powerful of the null h(ρ) = 0 against the alternative h(ρ) = 0 does not exist.”
State of the Art Unit Root Tests and the PPP Puzzle (2003, methodology): “Rossi (2002) uses the tests of Elliott and Stock (2001) and Hansen (1999) to calculate bias-corrected confidence intervals for half-lives of PPP deviations for post-1973 quarterly US dollar real exchange rate data for 17 countries.”