Least squares estimation for critical random coefficient first-order autoregressive processes

DOI10.1016/j.spl.2005.08.024zbMath1085.62100OpenAlexW2027605884MaRDI QIDQ2489808

Sun Young Hwang, Tae Yoon Kim, Ishwar V. Basawa

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.08.024

zbMATH Keywords

Critical processRandom coefficient AR(1)Test of criticalityWeighted and ordinary least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (11)

Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk ⋮ Asymptotic results for random coefficient bifurcating autoregressive processes ⋮ UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Inference and further probabilistic properties of the \(\mathrm{SUN}_{n,2}\)-distribution ⋮ A new non-linear \(AR(1)\) time series model having approximate beta marginals ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Unnamed Item ⋮ A test of correlation in the random coefficients of an autoregressive process ⋮ Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models ⋮ Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process ⋮ Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

Cites Work

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• Random coefficient autoregressive models: an introduction
• The foundations of finite sample estimation in stochastic processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Martingale Central Limit Theorems

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