Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

DOI10.1016/j.spl.2009.09.001zbMath1176.62087OpenAlexW2053280316MaRDI QIDQ1041706

Daisuke Nagakura

Publication date: 4 December 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.09.001

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Random autoregressive models: A structured overview ⋮ UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Testing for random coefficient autoregressive and stochastic unit root models ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Testing for randomness in a random coefficient autoregression 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

Cites Work

• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Coefficient constancy test in a random coefficient autoregressive model
• An introduction to stochastic unit-root processes
• Testing a time series for difference stationarity
• Least squares estimation for critical random coefficient first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation in nonstationary random coefficient autoregressive models
• Estimation in Random Coefficient Autoregressive Models
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Asymptotic Statistics
• Probability for Statisticians
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

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