NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
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Publication:3632421
DOI10.1017/S0266466608080535zbMath1284.62542MaRDI QIDQ3632421
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (9)
Random autoregressive models: A structured overview ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence ⋮ Estimation in Functional Lagged Regression ⋮ Testing for strict stationarity in a random coefficient autoregressive model
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- A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Estimation in Random Coefficient Autoregressive Models
- Regression Theory for Near-Integrated Time Series
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