Gaussian inference in general AR(1) models based on difference
本文提出一种简单的差分变换方法，用于一般AR(1)模型的估计和推断，其极限分布适用于含或不含趋势的模型，对动态面板应用有价值。
This article develops a simple difference transformation for estimation and inference in general AR(1) models. As in Paparoditis and Politis (2000, Test 9, 487–509) and Phillips and Han (2008, Econometric Theory 24, 631–650), a Gaussian limit theory with a convergence rate of is available, whether a unit root is present in the process. Yet the novelty of our limit results is that the same weak convergence applies to the models with or without a trend, unlike those established in the literature. The merits promise usefulness of the difference transformation in applications to dynamic panels.