Second order expansion of t-statistic in autoregressive models
By: Anna Mikusheva
Contributors: Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 07-26; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 07-26.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Number of pages: 20
Description: The purpose of this paper is to receive a second order expansion of the t-statistic in AR(1) model in local to unity asymptotic approach. I show that Hansen's (1998) method for confidence set construction achieves a second order improvement in local to unity asymptotic approach compared with Stock's (1991) and Andrews' (1993) methods. Keywords: autoregressive process, confidence set, local to unity asymptotics, uniform convergence.
Notes: "October 12, 2007."

Includes bibliographic reference (leaf 20).

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