Bayesian estimation and unit root tests for random coefficient autoregressive models

MaRDI QIDQ2915256zbMATH OpenFDO

Authors Dazhe Wang, Sujit K. Ghosh

Publication date 16 September 2012

Published in MASA. Model Assisted Statistics and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(6)

• Locally most powerful test for the random coefficient autoregressive model
• Quadratic random coefficient autoregression with linear-in-parameters volatility
• A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
• Random autoregressive models: a structured overview
• Time-varying threshold regression model using the Kalman filter method
• Testing for random coefficient autoregressive and stochastic unit root models

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