{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,23]],"date-time":"2026-07-23T21:36:14Z","timestamp":1784842574145,"version":"3.55.0"},"reference-count":19,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2011,11,25]],"date-time":"2011-11-25T00:00:00Z","timestamp":1322179200000},"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":[[2012,6]]},"abstract":"<jats:p>An empirical likelihood\u2013based confidence interval is proposed for interval estimations of the autoregressive coefficient of a first-order autoregressive model via weighted score equations. Although the proposed weighted estimate is less efficient than the usual least squares estimate, its asymptotic limit is always normal without assuming stationarity of the process. Unlike the bootstrap method or the least squares procedure, the proposed empirical likelihood\u2013based confidence interval is applicable regardless of whether the underlying autoregressive process is stationary, unit root, near-integrated, or even explosive, thereby providing a unified approach for interval estimation of an AR(1) model to encompass all situations. Finite-sample simulation studies confirm the effectiveness of the proposed method.<\/jats:p>","DOI":"10.1017\/s0266466611000727","type":"journal-article","created":{"date-parts":[[2011,11,25]],"date-time":"2011-11-25T05:43:55Z","timestamp":1322199835000},"page":"705-717","source":"Crossref","is-referenced-by-count":34,"title":["TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS"],"prefix":"10.1017","volume":"28","author":[{"given":"Ngai Hang","family":"Chan","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Deyuan","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Liang","family":"Peng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2011,11,25]]},"reference":[{"key":"S0266466611000727_ref18","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176325370"},{"key":"S0266466611000727_ref17","doi-asserted-by":"publisher","DOI":"10.2307\/2171721"},{"key":"S0266466611000727_ref13","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00798.x"},{"key":"S0266466611000727_ref12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.016"},{"key":"S0266466611000727_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2005.00507.x"},{"key":"S0266466611000727_ref10","author":"Han","year":"2010"},{"key":"S0266466611000727_ref9","volume-title":"Martingale Limit Theory and Its Applications","author":"Hall","year":"1980"},{"key":"S0266466611000727_ref5","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350492"},{"key":"S0266466611000727_ref4","first-page":"15","article-title":"Quantile inference for near-integrated autoregressive time series with infinite variance","volume":"16","author":"Chan","year":"2006","journal-title":"Statistica Sinica"},{"key":"S0266466611000727_ref1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10474977"},{"key":"S0266466611000727_ref3","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/92.2.477"},{"key":"S0266466611000727_ref8","doi-asserted-by":"publisher","DOI":"10.1016\/0378-3758(95)00147-6"},{"key":"S0266466611000727_ref14","doi-asserted-by":"publisher","DOI":"10.1201\/9781420036152"},{"key":"S0266466611000727_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600004904"},{"key":"S0266466611000727_ref2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_30"},{"key":"S0266466611000727_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466699152010"},{"key":"S0266466611000727_ref15","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466611000727_ref7","first-page":"387","article-title":"Empirical likelihood for autoregressive models, with applications to unstable time series","volume":"12","author":"Chuang","year":"2002","journal-title":"Statistica Sinica"},{"key":"S0266466611000727_ref6","first-page":"925","article-title":"Inference for nearly nonstationary processes under strong dependence and infinite variance","volume":"19","author":"Chan","year":"2009","journal-title":"Statistica Sinica"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466611000727","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,25]],"date-time":"2019-04-25T16:56:06Z","timestamp":1556211366000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466611000727\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,11,25]]},"references-count":19,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2012,6]]}},"alternative-id":["S0266466611000727"],"URL":"https:\/\/doi.org\/10.1017\/s0266466611000727","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,11,25]]}}}