2 papers
econ.EM2026
Initial-Condition-Robust Inference in Autoregressive Models
Donald W. K. Andrews, Ming Li, Yapeng Zheng
This paper considers confidence intervals (CIs) for the autoregressive (AR) parameter in an AR model with an AR parameter that may be close or equal to one. Existing CIs rely on th…
econ.EM2024
Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model
Donald W. K. Andrews, Ming Li
This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the propos…