Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators

For estimating the largest root of autoregressive (AR) models, we propose a n instrumental variable scheme which discounts a large value of regressors corresponding to the largest rests. The pivotal value of the estimator of t he largest root is asymptotically normal for any value of the largest root. This fact allows us to construct a simple confidence interval based on +/- standard error, say, with good coverage probability and shorter average le ngth than those of [J. Monetary Economics, 28, 1991, 435-459] and [Economet rica, 61, 1993, 139-165]. (C) 2001 Published by Elsevier Science B.V.