Unified interval estimation for random coefficient autoregressive models
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Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)
Recommendations
- Toward a unified interval estimation of autoregressions
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- On the quasi-likelihood estimation for random coefficient autoregressions
- The empirical likelihood for first-order random coefficient integer-valued autoregressive pro\-cesses
- Uniform interval estimation for an AR(1) process with AR errors
Cites work
- A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
- 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
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence regions
- 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
- Inference on stochastic time-varying coefficient models
- Least squares estimation for critical random coefficient first-order autoregressive processes
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- Stability of perpetuities
- Testing a time series for difference stationarity
- Testing for unit root processes in random coefficient autoregressive models
- Toward a unified interval estimation of autoregressions
Cited in
(16)- Random coefficient continuous systems: testing for extreme sample path behavior
- Statistical inference in a random coefficient panel model
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- Uniform Test for Predictive Regression With AR Errors
- Testing for strict stationarity in a random coefficient autoregressive model
- UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
- Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
- Testing for randomness in a random coefficient autoregression model
- Comments on the presence of serial correlation in the random coefficients of an autoregressive process
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Uniform interval estimation for an AR(1) process with AR errors
- The maximally selected likelihood ratio test in random coefficient models
- Random autoregressive models: a structured overview
- Toward a unified interval estimation of autoregressions
- On the quasi-likelihood estimation for random coefficient autoregressions
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