Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode

DOI10.1080/15598608.2010.10411985zbMath1216.62145OpenAlexW1976245592MaRDI QIDQ538254

Sastry G. Pantula, Dazhe Wang, Sujit Kumar Ghosh

Publication date: 24 May 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2010.10411985

zbMATH Keywords

time seriesergodicitystrict stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Locally most powerful test for the random coefficient autoregressive model

Cites Work

• Random coefficient autoregressive models: an introduction
• Generalized autoregressive conditional heteroscedasticity
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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