Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process

DOI10.1016/J.JSPI.2008.12.009MaRDI QIDQ1022006zbMATH OpenOpenAlexFDO

Authors Daisuke Nagakura

Publication date 9 June 2009

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

Full work available at URL http://www.imes.boj.or.jp/research/papers/english/07-E-20.pdf

zbMATH Keywords

constancyrandom coefficient autoregressive modelstability

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• An introduction to stochastic unit-root processes
• Coefficient constancy test in a random coefficient autoregressive model
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Efficient detection of random coefficients in autoregressive models
• Estimating deterministic trends with an integrated or stationary noise component
• Estimation in Random Coefficient Autoregressive Models
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• Least squares estimation for critical random coefficient first-order autoregressive processes
• Parameter estimation for generalized random coefficient autoregressive processes
• Rank tests for testing the randomness of autoregressive coefficients
• Testing a time series for difference stationarity
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

Cited in

(10)

• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• Coefficient constancy test in AR-ARCH models
• Explicit and exponential bounds for a test on the coefficient of an AR(1) model
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• Testing for parameter stability in \(RCA(1)\) time series
• Random autoregressive models: a structured overview
• Testing for random coefficient autoregressive and stochastic unit root models
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Testing for a bubble with a stochastically varying explosive coefficient
• Testing for parameter stability in a regression model with AR(1) errors

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