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- W2183601061 abstract "The limiting distribution of the quantile estimate for the autoregressive coecien t of a near-integrated rst order autoregressive model with innite vari- ance errors is derived. Since the limiting distribution depends on the unknown density function of the errors, an empirical likelihood ratio statistic is proposed from which condence intervals can be constructed for the near unit root model without knowing the density function. Numerical simulations are conducted to compare the performance of the empirical likelihood method and the least squares procedure. It is found that the empirical likelihood method outperforms the least squares procedure in general." @default.
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- W2183601061 date "2006-01-01" @default.
- W2183601061 modified "2023-10-03" @default.
- W2183601061 title "QUANTILE INFERENCE FOR NEAR-INTEGRATED AUTOREGRESSIVE TIME SERIES WITH INFINITE VARIANCE" @default.
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