Coefficient constancy test in a random coefficient autoregressive model
From MaRDI portal
Recommendations
- Coefficient constancy test in generalized random coefficient autoregressive model
- Testing for randomness in a random coefficient autoregression model
- Testing for strict stationarity in a random coefficient autoregressive model
- Coefficient constancy test in AR-ARCH models
- Testing for random coefficient autoregressive and stochastic unit root models
- Testing for constancy in varying coefficient models
- Testing for unit root processes in random coefficient autoregressive models
- Testing constancy in varying coefficient models
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
(26)- 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
- 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
This page was built for publication: Coefficient constancy test in a random coefficient autoregressive model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1298915)
