Testing for unit root processes in random coefficient autoregressive models

DOI10.1016/J.JECONOM.2007.09.002MaRDI QIDQ290982zbMATH OpenOpenAlexFDO

Authors Walter Distaso

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

zbMATH Keywords

unit root testingone-sided testsrandom coefficient autoregressive models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

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• scientific article; zbMATH DE number 3050768 (Why is no real title available?)
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• Testing For Unit Roots: 1
• Testing a time series for difference stationarity
• Testing for a unit root in time series regression
• Testing joint hypotheses when one of the alternatives is one-sided
• Time Series Regression with a Unit Root

Cited in

(23)

• On time series with randomized unit root and randomized seasonal unit root
• The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
• Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
• Response surface models for the Leybourne unit root tests and lag order dependence
• Testing for a unit root in a random coefficient panel data model
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• Modeling tails of aggregate economic processes in a stochastic growth model
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• Coefficient constancy test in a random coefficient autoregressive model
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• Testing for strict stationarity in a random coefficient autoregressive model
• Tests for real and complex unit roots in vector autoregressive models
• QML estimators in linear regression models with functional coefficient autoregressive processes
• Testing for randomness in a random coefficient autoregression model
• RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
• Unified interval estimation for random coefficient autoregressive models
• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• A new RCAR(1) model based on explanatory variables and observations
• Unit Roots, Cointegration, and Pretesting in Var Models

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