Testing for random coefficient autoregressive and stochastic unit root models

DOI10.1515/SNDE-2019-0013MaRDI QIDQ6039127zbMATH OpenOpenAlexFDO

Authors Daisuke Nagakura

Publication date 3 May 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2019-0013

zbMATH Keywords

state space modelLagrange multiplier testrandom coefficient autoregressive modelexact scorestochastic unit root model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(7)

• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• Testing for a unit root in a random coefficient panel data model
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• Coefficient constancy test in a random coefficient autoregressive model
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• Coefficient constancy test in generalized random coefficient autoregressive model
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

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