Testing for strict stationarity in a random coefficient autoregressive model

DOI10.1080/07474938.2020.1773667zbMath1480.62182arXiv1901.01077MaRDI QIDQ5861030

Lorenzo Trapani

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.01077

zbMATH Keywords

unit root; heavy tails; stationarity; randomized tests; random coefficient autoregression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Uses Software

• ump