Testing for coefficient randomness in local-to-unity autoregressions
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Cites work
- Boundary limit theory for functional local to unity regression
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Coefficient constancy test in a random coefficient autoregressive model
- Efficient Tests for an Autoregressive Unit Root
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- Point optimal testing with roots that are functionally local to unity
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- Random coefficient autoregressive models: an introduction
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Testing a time series for difference stationarity
- Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
- Testing for randomness in a random coefficient autoregression model
- Testing for unit root processes in random coefficient autoregressive models
- The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Unified interval estimation for random coefficient autoregressive models
- Weak convergence to stochastic integrals for econometric applications
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