Coefficient constancy test in a random coefficient autoregressive model

DOI10.1016/S0378-3758(98)00095-0MaRDI QIDQ1298915zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee

Publication date 9 November 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00095-0

zbMATH Keywords

consistencylocally best invariant testrandom coefficient autoregressive modeltesting coefficient constancy

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• On the distribution of some test statistics for coefficient constancy
• Parameter estimation for generalized random coefficient autoregressive processes
• Random coefficient autoregressive models: an introduction
• Rank tests for testing the randomness of autoregressive coefficients
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Testing a time series for difference stationarity

Cited in

(28)

• Test for parameter changes in generalized random coefficient autoregressive model
• A test of correlation in the random coefficients of an autoregressive process
• Random coefficient continuous systems: testing for extreme sample path behavior
• Efficient detection of random coefficients in autoregressive models
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Locally most powerful test for the random coefficient autoregressive model
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• Testing for strict stationarity in a random coefficient autoregressive model
• Coefficient constancy test in generalized random coefficient autoregressive model
• A Bayesian hierarchical copula model
• Testing for random coefficient autoregressive and stochastic unit root models
• Coefficient constancy test in AR-ARCH models
• Strong approximation for RCA(1) time series with applications
• Testing for randomness in a random coefficient autoregression model
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Testing for parameter stability in \(RCA(1)\) time series
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
• The maximally selected likelihood ratio test in random coefficient models
• On the distribution of some test statistics for coefficient constancy
• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• Monitoring parameter changes in RCA(\(p\)) models
• Random autoregressive models: a structured overview
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• A new RCAR(1) model based on explanatory variables and observations
• Some tests for parameter constancy in cointegrated VAR‐models
• Testing for a bubble with a stochastically varying explosive coefficient

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