A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Year of publication: |
2014
|
---|---|
Authors: | Andrews, Donald W. K. ; Guggenberger, Patrik |
Published in: |
The Review of Economics and Statistics. - MIT Press. - Vol. 96.2014, 2, p. 376-381
|
Publisher: |
MIT Press |
Subject: | asymptotically similar | asymptotic size | autoregressive model | conditional heteroskedasticity | con dence interval | hybrid test | subsampling test | unit root |
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