Testing for strict stationarity in a random coefficient autoregressive model
From MaRDI portal
Publication:5861030
DOI10.1080/07474938.2020.1773667zbMath1480.62182arXiv1901.01077OpenAlexW3035140203MaRDI QIDQ5861030
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.01077
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
A new bivariate autoregressive model driven by logistic regression ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Consistency and asymptotic normality in a class of nearly unstable processes ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ A test for strict stationarity in a random coefficient autoregressive model of order 1
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Statistical inference in a random coefficient panel model
- Testing for unit root processes in random coefficient autoregressive models
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- Limit theory for an explosive autoregressive process
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Chover-type laws of the iterated logarithm for weighted sums of \(\rho ^{\ast}\)-mixing sequences
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- Almost sure and weak invariance principles for random variables attracted by a stable law
- A single-blind controlled competition among tests for nonlinearity and chaos
- Deciding between I(1) and I(0)
- An introduction to stochastic unit-root processes
- Testing for randomness in a random coefficient autoregression model
- A strong approximation theorem for sums of random vectors in the domain of attraction to a stable law
- Testing for a unit root in the nonlinear STAR framework
- Nonparametric regression under dependent errors with infinite variance
- Testing a time series for difference stationarity
- The flexible Fourier form and Dickey-Fuller type unit root tests
- Statistical inference for generalized random coefficient autoregressive model
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Fuzzy and randomized confidence intervals and p-values
- Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
- Inference on stochastic time-varying coefficient models
- Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
- UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
- A Test for Strict Stationarity
- Estimation in nonstationary random coefficient autoregressive models
- Tests of strict stationarity based on quantile indicators
- Testing for a unit root in a stationary ESTAR process
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
- Estimation in Random Coefficient Autoregressive Models
- Uniform interval estimation for an AR(1) process with AR errors
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
- Conditional Heteroscedastic Time Series Models
- Iterated Random Functions
- DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
- Threshold Autoregression with a Unit Root
- Ergodic theory of chaos and strange attractors
- UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
- CWLS and ML estimates in a heteroscedastic RCA(1) model
- Estimation and Testing Stationarity for Double-Autoregressive Models
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Efficient Tests for an Autoregressive Unit Root
- NONPARAMETRIC NONSTATIONARITY TESTS
- Probabilistic forecasting of bubbles and flash crashes
- Moment Inequalities for the Maximum Cumulative Sum
- BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- An Asymtotic Theory of Bayesian Inference for Time Series
- Some Limit Theorems for Stationary Processes
