NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series

James H. Stock

NBER Technical Working Paper No. 105
Issued in May 1991
NBER Program(s):   EFG

This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the Appendix. When applied to the Nelson-Plosser (1982) data set, the main conclusion is that the confidence intervals typically are wide. The conventional emphasis on testing for whether the largest root equals one fails to convey the substantial sampling variability associated with this measure of persistence.

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Document Object Identifier (DOI): 10.3386/t0105

Published: Journal of Monetary Economics, 28 (1991) no. 3, pp. 435-450

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