Testing for unit root processes in random coefficient autoregressive models
From MaRDI portal
Publication:290982
DOI10.1016/j.jeconom.2007.09.002zbMath1418.62314MaRDI QIDQ290982
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.09.002
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
Related Items
Testing for strict stationarity in a random coefficient autoregressive model, Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence, Testing for a unit root in a random coefficient panel data model, QML estimators in linear regression models with functional coefficient autoregressive processes, Modeling tails of aggregate economic processes in a stochastic growth model, Testing for randomness in a random coefficient autoregression model, A test for strict stationarity in a random coefficient autoregressive model of order 1, Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations, Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process, UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
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