Testing for random coefficient autoregressive and stochastic unit root models

DOI10.1515/snde-2019-0013OpenAlexW3123139969MaRDI QIDQ6039127

Daisuke Nagakura

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0013

zbMATH Keywords

state space modelLagrange multiplier testrandom coefficient autoregressive modelexact scorestochastic unit root model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Some results on commutation matrices, with statistical applications
• Estimation in Random Coefficient Autoregressive Models
• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Chapter 7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
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