| dc.contributor | 國貿系 | en_US |
| dc.creator (作者) | 郭炳伸 | zh_TW |
| dc.creator (作者) | Chen, Jhih-Gang ; Kuo, Biing-Shen | en_US |
| dc.date (日期) | 2013-07 | en_US |
| dc.date.accessioned | 21-Nov-2013 14:57:15 (UTC+8) | - |
| dc.date.available | 21-Nov-2013 14:57:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Nov-2013 14:57:15 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61761 | - |
| dc.description.abstract (摘要) | This article develops a simple difference transformation for estimation and inference in general AR(1) models. As in Paparoditis and Politis (2000, Test 9, 487–509) and Phillips and Han (2008, Econometric Theory 24, 631–650), a Gaussian limit theory with a convergence rate of inline image is available, whether a unit root is present in the process. Yet the novelty of our limit results is that the same weak convergence applies to the models with or without a trend, unlike those established in the literature. The merits promise usefulness of the difference transformation in applications to dynamic panels. | en_US |
| dc.format.extent | 597052 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Time Series Analysis, 34(4),447-453 | en_US |
| dc.subject (關鍵詞) | AR model;difference;unit root | en_US |
| dc.title (題名) | Gaussian Inference in General AR(1) Models Based on Difference | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/jtsa.12031 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/jtsa.12031 | en_US |
