Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process

DOI10.1016/j.jspi.2008.12.009zbMath1162.62086OpenAlexW3123995694MaRDI QIDQ1022006

Daisuke Nagakura

Publication date: 9 June 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://www.imes.boj.or.jp/research/papers/english/07-E-20.pdf

zbMATH Keywords

stabilityconstancyrandom coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Random autoregressive models: A structured overview ⋮ Testing for random coefficient autoregressive and stochastic unit root models ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

Cites Work

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• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

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