The Stability of Random Coefficient Autoregressive Models

DOI10.2307/2526173MaRDI QIDQ3953044zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls, Barry Quinn

Publication date 1981

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526173

zbMATH Keywords

multivariate modelsnecessary and sufficient conditionstability of random coefficient autoregressive models

Mathematics Subject Classification ID

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

Cited in

(15)

• Bilinear Markovian representation and bilinear models
• Estimation in nonlinear time series models
• Minimum distance estimators for random coefficient autoregressive models
• Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
• Parameter estimation for generalized random coefficient autoregressive processes
• On continuous-time threshold ARMA processes
• Minimum distance estimation for random coefficient autoregressive models
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Smoothed estimates for models with random coefficients and infinite variance innovations
• Asymptotic optimal inference for a class of nonlinear time series models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Multivariate hyper-rotated GARCH-BEKK
• Parameter estimation in a regression model with random coefficient autoregressive errors
• A characterization of random-coefficient AR(1) models
• On first and second order stationarity of random coefficient models

This page was built for publication: The Stability of Random Coefficient Autoregressive Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3953044)