Econometric Theory Achieves "Uniform Inference" for Autoregressive Processes
May 30, 2025
May 30, 2025
WASHINGTON, May 30 (TNSLrpt) -- The Federal Reserve Bank of New York issued a Staff Report (No. 1151), titled "Uniform Inference with General Autoregressive Processes". Issued in April 2025, the report, authored by Tassos Magdalinos and Katerina Petrova, introduces a unified theory for estimation and inference in autoregressive processes. This theory addresses the complex challenges posed by time series data that can exhibit varying degrees of persistence, from stationary to explosive, . . .