arXiv 1 Nov 2024 · Econometrics · publishedQuantitative Economics (2025) · 1 citations (OpenAlex)
arXiv:2411.00358 · PDF · DOI · OpenAlex · Extracted main text
This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit root or local-to-unit root behavior) in other periods, and smooth transitions between the two. The estimation of the AR parameter at any time point is based on a local least squares regression method, where the relevant initial condition is endogenous. We obtain limit distributions for the AR parameter estimator and t-statistic at a given point $\tau$ in time when the parameter exhibits unit root, local-to-unity, or stationary/stationary-like behavior at time $\tau$. These results are used to construct confidence intervals and median-unbiased interval estimators for the AR parameter at any specified point in time. The confidence intervals have correct asymptotic coverage probabilities with the coverage holding uniformly over stationary and nonstationary behavior of the observations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mikusheva, Anna (2007) Uniform inference in autoregressive models | 0.843 | 4 | 3 | 75% |
| 2 | Andrews, Donald W. K., Xu Cheng, and Patrik Guggenberger (2020) Generic results for establishing the asymptotic size of confidence sets and tests self | 0.737 | 3 | 3 | 67% |
| 3 | Giraitis, Liudas, George Kapetanios, and Anthony Yates (2014) Inference on stochastic time-varying coefficient models | 0.644 | 2 | 2 | 100% |
| 4 | Andrews, Donald W. K (1991) Asymptotic optimality of generalized $C_L$, cross-validation, and generalized cross-validation in regression with heteroskedasti… self | 0.644 | 2 | 2 | 100% |
| 5 | Andrews, Donald W. K. and Patrik Guggenberger (2014) A conditional-heteroskedasticity-robust confidence interval for the autoregressive parameter self | 0.644 | 2 | 2 | 100% |
| 6 | Li, Ker-Chau (1987) Asymptotic optimality for $C_p$, $C_L$, cross-validation and generalized cross-validation: discrete index set | 0.644 | 2 | 2 | 100% |
| 7 | Stock, James H (1991) Confidence intervals for the largest autoregressive root in US macroeconomic time series | 0.644 | 2 | 2 | 100% |
| 8 | Cole, Stephen, Enrique Martinez-Garcia, and Eric R. Sims (2023) Living up to expectations: Central bank credibility, the effectiveness of forward guidance, and inflation dynamics post-global f… | 0.585 | 3 | 1 | 100% |
| 9 | Hansen, Bruce E (1999) The grid bootstrap and the autoregressive model | 0.511 | 4 | 2 | 25% |
| 10 | Bernanke, Ben S (2020) The new tools of monetary policy | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 61 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Initial-Condition-Robust Inference in Autoregressive Models | 0.405 | 1 | 1 |