{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,23]],"date-time":"2026-07-23T21:36:17Z","timestamp":1784842577724,"version":"3.55.0"},"reference-count":6,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2008,1,22]],"date-time":"2008-01-22T00:00:00Z","timestamp":1200960000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2008,6]]},"abstract":"<jats:p>This paper introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite-sample bias and are not sensitive to initial conditions, and the approach has the unusual advantage that a Gaussian central limit theory applies and is continuous as the autoregressive coefficient passes through unity with a uniform <jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" mime-subtype=\"gif\" mimetype=\"image\" xlink:type=\"simple\" xlink:href=\"S0266466608080262jra_eqnU001\"><jats:alt-text>\n$\\sqrt{n}$\n<\/jats:alt-text><\/jats:inline-graphic> rate of convergence. En route, a useful central limit theorem (CLT) for sample covariances of linear processes is given, following Phillips and Solo (1992, <jats:italic>Annals of Statistics<\/jats:italic>, 20, 971\u20131001). The approach also has useful extensions to dynamic panels.<\/jats:p>","DOI":"10.1017\/s0266466608080262","type":"journal-article","created":{"date-parts":[[2008,1,22]],"date-time":"2008-01-22T05:16:23Z","timestamp":1200978983000},"page":"631-650","source":"Crossref","is-referenced-by-count":26,"title":["GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT"],"prefix":"10.1017","volume":"24","author":[{"given":"Peter C.B.","family":"Phillips","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Chirok","family":"Han","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2008,1,22]]},"reference":[{"key":"S0266466608080262_ref005","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S0266466608080262_ref004","unstructured":"Phillips P.C.B. \u2019 Magdalinos T. (2005) Limit Theory for Moderate Deviations from a Unit Root. Cowles Foundation Discussion paper 1471, Yale University."},{"key":"S0266466608080262_ref002","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466698145048"},{"key":"S0266466608080262_ref001","doi-asserted-by":"publisher","DOI":"10.1093\/0198774036.001.0001"},{"key":"S0266466608080262_ref006","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177706450"},{"key":"S0266466608080262_ref003","doi-asserted-by":"publisher","DOI":"10.1007\/BF02595747"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466608080262","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,30]],"date-time":"2019-04-30T19:34:39Z","timestamp":1556652879000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466608080262\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,1,22]]},"references-count":6,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2008,6]]}},"alternative-id":["S0266466608080262"],"URL":"https:\/\/doi.org\/10.1017\/s0266466608080262","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,1,22]]}}}