CONFIDENCE-INTERVALS FOR THE LARGEST AUTOREGRESSIVE ROOT IN UNITED-STATES MACROECONOMIC TIME-SERIES
成果类型：
Article
署名作者：
STOCK, JH
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(91)90034-L
发表日期：
1991
页码：
435-459
关键词：
摘要：
This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the appendix. When applied to the Nelson-Plosser (1982) data set, the main conclusion is that the confidence intervals typically are wide. The conventional emphasis on testing for whether the largest root equals one fails to convey the substantial sampling variability associated with this measure of persistence.
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