Second Order Expansion of t-statistic in Autoregressive Models

The purpose of this paper is to receive a second order expansion of the t-statistic in AR(1) model in local to unity asjnnptotic approach. I show that Hansen's (1998) method for confidence set construction achieves a second order improvement in local to unity asymptotic approach compared with Stock's (1991) and Andrews ' (1993) methods. Key Words: autoregressive process, confidence set, local to unity asymptotics, uniform convergenc