Least squares estimation for critical random coefficient first-order autoregressive processes

DOI10.1016/J.SPL.2005.08.024MaRDI QIDQ2489808zbMATH OpenOpenAlexFDO

Authors S. Y. Hwang, Tae Yoon Kim, I. V. Basawa

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.08.024

zbMATH Keywords

Critical processRandom coefficient AR(1)Test of criticalityWeighted and ordinary least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation for nonlinear autoregressive models generated by beta-ARCH processes
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Martingale Central Limit Theorems
• Random coefficient autoregressive models: an introduction
• The foundations of finite sample estimation in stochastic processes

Cited in

(15)

• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• A test of correlation in the random coefficients of an autoregressive process
• A new non-linear AR(1) time series model having approximate beta marginals
• Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk
• Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
• Least squares estimation in a simple random coefficient autoregressive model
• Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models
• Asymptotic results for random coefficient bifurcating autoregressive processes
• Unified interval estimation for random coefficient autoregressive models
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Conditional least squares estimation for the SINAR(1, 1) process
• Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• Inference and further probabilistic properties of the \(\mathrm{SUN}_{n,2}\)-distribution

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