Coefficient constancy test in a random coefficient autoregressive model

DOI10.1016/S0378-3758(98)00095-0zbMath0924.62092OpenAlexW1997848258MaRDI QIDQ1298915

Sangyeol Lee

Publication date: 9 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00095-0

zbMATH Keywords

consistencylocally best invariant testrandom coefficient autoregressive modeltesting coefficient constancy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (16)

Coefficient constancy test in AR-ARCH models ⋮ Random autoregressive models: A structured overview ⋮ Testing for random coefficient autoregressive and stochastic unit root models ⋮ Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ A Bayesian hierarchical copula model ⋮ Efficient detection of random coefficients in autoregressive models ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process ⋮ Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations ⋮ Test for parameter changes in generalized random coefficient autoregressive model

Cites Work

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• Random coefficient autoregressive models: an introduction
• Parameter estimation for generalized random coefficient autoregressive processes
• Rank tests for testing the randomness of autoregressive coefficients
• Testing a time series for difference stationarity
• On the distribution of some test statistics for coefficient constancy
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

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