Least squares estimation in a simple random coefficient autoregressive model

DOI10.1016/J.JECONOM.2013.04.013zbMATH Open1288.62126OpenAlexW2071798972WikidataQ61915672 ScholiaQ61915672MaRDI QIDQ2453087FDOQ2453087

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

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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)

Cites Work

• Title not available (Why is that?)
• Random difference equations and renewal theory for products of random matrices
• Implicit renewal theory and tails of solutions of random equations
• Estimation in Random Coefficient Autoregressive Models
• Random coefficient autoregressive models: an introduction
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• Autoregressive series with random parameters
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Imperfect knowledge economics: Exchange rates and risk. Foreword by Edmund S. Phelps.

Cited In (9)

• The least-squares criteria of the random coefficient dynamic regression model
• Weighted least squares estimation in a binary random coefficient panel model with infinite variance
• 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
• Title not available (Why is that?)
• Estimation in Random Coefficient Autoregressive Models
• Sample path properties of an explosive double autoregressive model

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