{"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":1784842574745,"version":"3.55.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[1999,4,1]],"date-time":"1999-04-01T00:00:00Z","timestamp":922924800000},"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":[[1999,4]]},"abstract":"<jats:p>For autoregressive processes, we propose new estimators \nwhose pivotal statistics have the standard normal limiting \ndistribution for all ranges of the autoregressive parameters. \nThe proposed estimators are approximately median unbiased. \nFor seasonal time series, the new estimators give us unit \nroot tests that have limiting normal distribution regardless \nof period of the seasonality. Using the estimators, confidence \nintervals of the autoregressive parameters are constructed. \nA Monte-Carlo simulation for first-order autoregressions \nshows that the proposed tests for unit roots are locally \nmore powerful than the tests based on the ordinary least \nsquares estimators. It also shows that the proposed confidence \nintervals have shorter average lengths than those of Andrews \n(1993, <jats:italic>Econometrica<\/jats:italic> 61, 139\u2013165) based on \nthe ordinary least squares estimators when the autoregressive \ncoefficient is close to one.<\/jats:p>","DOI":"10.1017\/s0266466699152010","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"165-176","source":"Crossref","is-referenced-by-count":49,"title":["CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS \nTO UNIT ROOT TESTS AND CONFIDENCE INTERVALS"],"prefix":"10.1017","volume":"15","author":[{"given":"Beong Soo","family":"So","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dong Wan","family":"Shin","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[1999,4,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466699152010","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,3,29]],"date-time":"2019-03-29T19:36:44Z","timestamp":1553888204000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466699152010\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1999,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1999,4]]}},"alternative-id":["S0266466699152010"],"URL":"https:\/\/doi.org\/10.1017\/s0266466699152010","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1999,4]]}}}