The Stability of Random Coefficient Autoregressive Models

DOI10.2307/2526173zbMath0491.62081OpenAlexW1992562347MaRDI QIDQ3953044

D. F. Nicholls, Barry G. Quinn

Publication date: 1981

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526173

zbMATH Keywords

necessary and sufficient conditionmultivariate modelsstability of random coefficient autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Estimation in nonlinear time series models ⋮ On continuous-time threshold ARMA processes ⋮ Parameter estimation in a regression model with random coefficient autoregressive errors ⋮ Multivariate hyper-rotated GARCH-BEKK ⋮ Minimum distance estimation for random coefficient autoregressive models ⋮ The local asymptotic normality of a class of generalized random coefficient autoregressive processes ⋮ Minimum distance estimators for random coefficient autoregressive models ⋮ Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals ⋮ On first and second order stationarity of random coefficient models ⋮ Smoothed estimates for models with random coefficients and infinite variance innovations ⋮ A characterization of random-coefficient AR(1) models ⋮ Asymptotic optimal inference for a class of nonlinear time series models ⋮ The mixing property of bilinear and generalised random coefficient autoregressive models ⋮ Parameter estimation for generalized random coefficient autoregressive processes ⋮ Bilinear Markovian representation and bilinear models

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