Testing for randomness in a random coefficient autoregression model
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Publication:1740297
DOI10.1016/j.jeconom.2019.01.005zbMath1452.62648OpenAlexW2913152774WikidataQ128527793 ScholiaQ128527793MaRDI QIDQ1740297
Lorenzo Trapani, Lajos Horváth
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/18-03.pdf
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (10)
Random autoregressive models: A structured overview ⋮ Sequential testing for structural stability in approximate factor models ⋮ Normality test in random coefficient autoregressive models ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ A test for strict stationarity in a random coefficient autoregressive model of order 1 ⋮ Testing for strict stationarity in a random coefficient autoregressive model
Uses Software
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