Testing for randomness in a random coefficient autoregression model
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Cites work
- A multivariate stochastic unit root model with an application to derivative pricing
- Adaptive estimation in a random coefficient autoregressive model
- An introduction to stochastic unit-root processes
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- CWLS and ML estimates in a heteroscedastic RCA(1) model
- Coefficient constancy test in a random coefficient autoregressive model
- Detecting relevant changes in time series models
- Efficient detection of random coefficients in autoregressive models
- Estimation in Random Coefficient Autoregressive Models
- Estimation in nonstationary random coefficient autoregressive models
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Fuzzy and randomized confidence intervals and p-values
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Komlós-Major-Tusnády approximation under dependence
- Limit theory for an explosive autoregressive process
- Limit theory for moderate deviations from a unit root
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- Near-integrated GARCH sequences
- Nonlinear system theory: Another look at dependence
- Norming rates and limit theory for some time-varying coefficient autoregressions
- Optimal test for Markov switching parameters
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- Random coefficient autoregressive models: an introduction
- Rank tests for testing the randomness of autoregressive coefficients
- Regression Theory for Near-Integrated Time Series
- Statistical inference in a random coefficient panel model
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Strong invariance principles for dependent random variables
- Taking a new contour: a novel approach to panel unit root tests
- Testing Statistical Hypotheses
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- Testing a time series for difference stationarity
- Testing for unit root processes in random coefficient autoregressive models
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- Unified interval estimation for random coefficient autoregressive models
- √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL
Cited in
(16)- Efficient detection of random coefficients in autoregressive models
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Coefficient constancy test in a random coefficient autoregressive model
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- Testing for strict stationarity in a random coefficient autoregressive model
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Coefficient constancy test in generalized random coefficient autoregressive model
- Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
- Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Rank tests for testing the randomness of autoregressive coefficients
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- Random autoregressive models: a structured overview
- Sequential testing for structural stability in approximate factor models
- Normality test in random coefficient autoregressive models
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