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Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series · Study

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ArticleConfidence intervals for the largest autoregressive root in U.S. macroeconomic time series

James H. Stock1991

Article1991

Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series

416 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1982Trends and random walks in macroeconmic time series 1990Inference in Linear Time Series Models with some Unit Roots 1988How Big Is the Random Walk in GNP?1988Tests For Unit Roots: A Monte Carlo Investigation 1987Towards a Unified Asymptotic Theory for Autoregression 1987Are Output Fluctuations Transitory?

Cited by

2003Long-horizon regressions: theoretical results and applications 2004The Macroeconomic Effects of Inflation Targeting 2000Nonstationary panel data analysis: an overview of some recent developments 1995Inference in Models with Nearly Integrated Regressors 1998Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model 2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables

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1994Chapter 46 Unit roots, structural breaks and trendschapter · 11 shared references 2010CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONSarticle · 9 shared references 1996Time-Series-Based Econometricsbook · 8 shared references 1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTSarticle · 8 shared references 1990COINTEGRATION AND UNIT ROOTSarticle · 7 shared references 1997Testing of unit root and other nonstationary hypotheses in macroeconomic time seriesarticle · 7 shared references

Details

Year1991

Typearticle

Published1991-12-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations416

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-3932(91)90034-l

openalex_workW3125811713

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2006The persistence of inflation in the United States

1996Purchasing power parity and unit root tests using panel data