Testing for unit root processes in random coefficient autoregressive models

DOI10.1016/j.jeconom.2007.09.002zbMath1418.62314OpenAlexW2005326190MaRDI QIDQ290982

Walter Distaso

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.09.002

zbMATH Keywords

one-sided testsrandom coefficient autoregressive modelsunit root testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (10)

Modeling tails of aggregate economic processes in a stochastic growth model ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence ⋮ Testing for randomness in a random coefficient autoregression model ⋮ A test for strict stationarity in a random coefficient autoregressive model of order 1 ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Testing for a unit root in a random coefficient panel data model ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

• Unnamed Item
• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Testing joint hypotheses when one of the alternatives is one-sided
• A functional central limit theorem for weakly dependent sequences of random variables
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Long memory relationships and the aggregation of dynamic models
• A note on a heteroscedastic model
• An introduction to stochastic unit-root processes
• Testing a time series for difference stationarity
• Modeling volatility persistence of speculative returns: a new approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On the Theory of Testing for Unit Roots in Observed Time Series
• Conditional Heteroscedastic Time Series Models
• Testing for a unit root in time series regression
• Miscellanea. Score tests for heteroscedasticity in wavelet regression
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Integration Versus Trend Stationary in Time Series
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Time Series Regression with a Unit Root
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Efficient Tests for an Autoregressive Unit Root
• An Asymtotic Theory of Bayesian Inference for Time Series

This page was built for publication: Testing for unit root processes in random coefficient autoregressive models