-
作者:ASCHHEIM, J; TAVLAS, GS
作者单位:International Monetary Fund
-
作者:LOUNGANI, P
作者单位:Federal Reserve System - USA; Federal Reserve Bank - Chicago
-
作者:MIRON, JA
作者单位:National Bureau of Economic Research
-
作者:WALLACE, FH; BLANCO, H
-
作者:COLE, HL; OBSTFELD, M
作者单位:University of Pennsylvania; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK
-
作者:LUCAS, DJ
作者单位:Massachusetts Institute of Technology (MIT)
-
作者:COCHRANE, JH
-
作者:STEINDL, FG
-
作者:STOCK, JH
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 ...
-
作者:CUKIERMAN, A; LIVIATAN, N
作者单位:Hebrew University of Jerusalem