Least squares estimation in a simple random coefficient autoregressive model

DOI10.1016/J.JECONOM.2013.04.013MaRDI QIDQ2453087zbMATH OpenOpenAlexWikidataFDO

Authors Søren Johansen, Theis Lange

Publication date 6 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.04.013

zbMATH Keywords

time seriesstable limitsexplosive processesbubble models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Least squares estimation for critical random coefficient first-order autoregressive processes

Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• Autoregressive series with random parameters
• Estimation in Random Coefficient Autoregressive Models
• Imperfect knowledge economics: Exchange rates and risk. Foreword by Edmund S. Phelps.
• Implicit renewal theory and tails of solutions of random equations
• Random coefficient autoregressive models: an introduction
• Random difference equations and renewal theory for products of random matrices
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

Cited in

(9)

• Weighted least squares estimation in a binary random coefficient panel model with infinite variance
• The least-squares criteria of the random coefficient dynamic regression model
• The more supply chain control power, the better? A comparison among four kinds of cooperation models
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
• Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
• On the sample variance of explosive random coefficient autoregressive processes
• scientific article; zbMATH DE number 5018757 (Why is no real title available?)
• Estimation in Random Coefficient Autoregressive Models
• Sample path properties of an explosive double autoregressive model

This page was built for publication: Least squares estimation in a simple random coefficient autoregressive model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453087)