NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

DOI10.1017/S0266466608080535zbMath1284.62542MaRDI QIDQ3632421

Alexander Aue

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Random autoregressive models: A structured overview ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence ⋮ Estimation in Functional Lagged Regression ⋮ Testing for strict stationarity in a random coefficient autoregressive model

Cites Work

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• Limit theory for moderate deviations from a unit root
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Random coefficient autoregressive models: an introduction
• Near-integrated GARCH sequences
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Estimation in Random Coefficient Autoregressive Models
• Regression Theory for Near-Integrated Time Series

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