Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
- Parameter estimation for generalized random coefficient autoregressive processes
- Random coefficient autoregressive models: an introduction
Cited in
(34)- Norming rates and limit theory for some time-varying coefficient autoregressions
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Non-stationary quasi-likelihood and asymptotic optimality
- A test of correlation in the random coefficients of an autoregressive process
- Random coefficient continuous systems: testing for extreme sample path behavior
- Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series
- Testing for strict stationarity in a random coefficient autoregressive model
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- Least squares estimation in a simple random coefficient autoregressive model
- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
- Testing for random coefficient autoregressive and stochastic unit root models
- Testing for randomness in a random coefficient autoregression model
- Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Unified interval estimation for random coefficient autoregressive models
- Some characterizations of non-ergodic estimating functions for stochastic processes
- Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Tests based on simplicial depth for AR(1) models with explosion
- A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
- The maximally selected likelihood ratio test in random coefficient models
- A new non-linear AR(1) time series model having approximate beta marginals
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
- Weak convergence of the residual empirical process in explosive autoregression
- Asymptotic distributions of some robust scale estimators in explosive AR(1) model
- On the sample variance of explosive random coefficient autoregressive processes
- Non-ergodic martingale estimating functions and related asymptotics
- Slow-explosive AR(1) processes converging to random walk
- On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series
- Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
- Least squares estimation for critical random coefficient first-order autoregressive processes
- Asymptotic inference of unstable periodic ARCH processes
- Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
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