On the sample variance of explosive random coefficient autoregressive processes

DOI10.1016/J.AML.2011.05.046zbMATH Open1228.62107OpenAlexW2077196242MaRDI QIDQ654252FDOQ654252

Authors: Terence T. L. Chong, Wai-Kit Leung 

Publication date: 28 December 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.05.046

Recommendations

• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Limit theory for an explosive autoregressive process
• On limiting distributions in explosive autoregressive processes
• Limit theory for random coefficient first-order autoregressive process
• Least squares estimation in a simple random coefficient autoregressive model

zbMATH Keywords

GARCHARCHsecond-order stationary

Mathematics Subject Classification ID

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

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the differencing parameter via the partial autocorrelation function
• Modelling the persistence of conditional variances
• Structural change in AR(1) models
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• RCA models with correlated errors

Cited In (3)

• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Sample path properties of an explosive double autoregressive model
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors

This page was built for publication: On the sample variance of explosive random coefficient autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654252)