Testing for stationary or persistent coefficient randomness in predictive regressions
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Cites work
- Efficient detection of random coefficients in autoregressive models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Fully Modified Least Squares and Vector Autoregression
- GARCH (1,1) processes are near epoch dependent
- Hybrid and Size-Corrected Subsampling Methods
- Hybrid stochastic local unit roots
- Linear prediction and estimation methods for regression models with stationary stochastic coefficients
- On the asymptotic theory of subsampling
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Specification tests for time-varying coefficient models
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Subsampling inference for the mean of heavy-tailed long-memory time series
- Subsampling vector autoregressive tests of linear constraints
- Testing for parameter instability in predictive regression models
- Testing for randomness in a random coefficient autoregression model
- Testing for smooth structural changes in time series models via nonparametric regression
- Testing for the Constancy of Parameters Over Time
- Testing parameter constancy in linear models against stochastic stationary parameters
- The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
- Weak convergence to stochastic integrals for econometric applications
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