Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
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Publication:5487364
DOI10.1111/J.1467-9892.2005.00432.XzbMATH Open1097.62081OpenAlexW1963804747MaRDI QIDQ5487364FDOQ5487364
Publication date: 19 September 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00432.x
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Cites Work
Cited In (30)
- 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
- 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
- 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
- NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS
- A new non-linear \(AR(1)\) time series model having approximate beta marginals
- Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- Weak convergence of the residual empirical process in explosive autoregression
- Asymptotic distributions of some robust scale estimators in explosive AR(1) model
- Non-ergodic martingale estimating functions and related asymptotics
- UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
- On the sample variance of explosive random coefficient autoregressive processes
- 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
- Least squares estimation for critical random coefficient first-order autoregressive processes
- Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
- Asymptotic inference of unstable periodic ARCH processes
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