Printer friendly

What does AR(1) stand for?

AR(1) stands for First-Order Autoregressive

This definition appears frequently

Samples in periodicals archive:

At the same time, however, panel unit-root tests suffer from five potentially severe drawbacks: (i) difficulty in interpreting the null hypothesis; (ii) the lack of formal stability tests; (iii) the possibility of incorrect standard errors occurring when mixing stationary and nonstationary data; (iv) possible heterogeneity of the first-order autoregressive coefficients; (v) contemporaneous correlations that may lead to a spurious rejection of the null.
Exploring a variety of univariate processes reveals that the log difference in consumption can be well described by a first-order autoregressive process--although a process in which the growth of consumption is unforecastable (the log of consumption is a random walk) is not a bad approximation.