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5 March 2007
Applied Statistics - Anna Mikusheva
This week, the Applied Statistics Workshop will present a talk by Anna Mikusheva, a Ph.D. candidate in the Economics Department at Harvard. Before joining the graduate program at Harvard, she received a Ph.D. in mathematics from Moscow State University. She will present a talk entitled "Uniform inferences in autoregressive processes." The paper is available from the workshop website. The presentation will be at noon on Wednesday, March 7 in Room N354, CGIS North, 1737 Cambridge St. As always, lunch will be provided. An abstract of the paper follows on the jump:
UNIFORM INFERENCE IN AUTOREGRESSIVE MODELS
Anna Mikusheva
Abstract
The purpose of this paper is to provide theoretical justification for some existing methods
of constructing confidence intervals for the sum of coefficients in autoregressive models.
We show that the methods of Stock (1991), Andrews (1993), and Hansen (1999) provide
asymptotically valid confidence intervals, whereas the subsampling method of Romano and
Wolf (2001) does not. In addition, we generalize the three valid methods to a larger class
of statistics. We also clarify the difference between uniform and point-wise asymptotic
approximations, and show that a point-wise convergence of coverage probabilities for all
values of the parameter does not guarantee the validity of the confidence set.
Posted by Mike Kellermann at March 5, 2007 4:17 PM