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Testing for random coefficient autoregressive and stochastic unit root models

JOURNAL ARTICLE published 6 March 2023 in Studies in Nonlinear Dynamics & Econometrics

Authors: Daisuke Nagakura

https://doi.org/10.1515/snde-2019-0013 Actions

The Stability of Random Coefficient Autoregressive Models

JOURNAL ARTICLE published October 1981 in International Economic Review

Authors: B. G. Quinn | D. F. Nicholls

https://doi.org/10.2307/2526173 Actions

Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models

JOURNAL ARTICLE published January 1988 in Economics Letters

Authors: Christian C.P. Wolff

https://doi.org/10.1016/0165-1765(88)90086-9 Actions

THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

JOURNAL ARTICLE published May 1981 in Journal of Time Series Analysis

Authors: B. G. Quinn | D. F. Nicholls

https://doi.org/10.1111/j.1467-9892.1981.tb00321.x Actions

Random coefficient first-order autoregressive models

JOURNAL ARTICLE published August 1980 in Journal of Econometrics

Authors: Lon-Mu Liu | George C. Tiao

https://doi.org/10.1016/0304-4076(80)90082-2 Actions

An Application

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9_8 Actions

Minimum distance estimators for random coefficient autoregressive models

JOURNAL ARTICLE published September 1996 in Statistics & Probability Letters

Authors: Lianfen Qian

https://doi.org/10.1016/0167-7152(95)00180-8 Actions

Testing for unit root processes in random coefficient autoregressive models

JOURNAL ARTICLE published January 2008 in Journal of Econometrics

Authors: Walter Distaso

https://doi.org/10.1016/j.jeconom.2007.09.002 Actions

Risk-efficient sequential estimation of multivariate random coefficient autoregressive process

JOURNAL ARTICLE published 2 January 2019 in Sequential Analysis

Authors: Bikram Karmakar | Indranil Mukhopadhyay

https://doi.org/10.1080/07474946.2019.1574441 Actions

Time-varying parameter auto-regressive models for autocovariance nonstationary time series

JOURNAL ARTICLE published March 2009 in Science in China Series A: Mathematics

Authors: WanChun Fei | Lun Bai

https://doi.org/10.1007/s11425-008-0163-3 Actions

Least squares estimation in a simple random coefficient autoregressive model

JOURNAL ARTICLE published December 2013 in Journal of Econometrics

Authors: Søren Johansen | Theis Lange

https://doi.org/10.1016/j.jeconom.2013.04.013 Actions

Estimation of partially nonstationary vector autoregressive models with seasonal behavior

JOURNAL ARTICLE published June 1994 in Journal of Econometrics

Authors: Sung K. Ahn | Gregory C. Reinsel

https://doi.org/10.1016/0304-4076(94)90027-2 Actions

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Harald Badinger | Peter H. Egger

https://doi.org/10.2139/ssrn.2463553 Actions

On adaptive estimation in nonstationary ARMA Models with GARCH errors

JOURNAL ARTICLE published 1 April 2003 in The Annals of Statistics

Authors: Shiqing Ling | Michael McAleer

https://doi.org/10.1214/aos/1051027884 Actions

Semibinomial conditionally nonlinear autoregressive models of discrete random sequences: probabilistic properties and statistical parameter estimation

JOURNAL ARTICLE published 16 December 2020 in Discrete Mathematics and Applications

Authors: Valeriy A. Voloshko | Yuriy S. Kharin

https://doi.org/10.1515/dma-2020-0038 Actions

Examples using random coefficient models

BOOK CHAPTER published 6 January 1994 in Random Coefficient Models

Authors: Nicholas T Longford

https://doi.org/10.1093/oso/9780198522645.003.0005 Actions

Stationarity and Stability

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9_2 Actions

A simple procedure for computing improved prediction intervals for autoregressive models

JOURNAL ARTICLE published November 2009 in Journal of Time Series Analysis

Authors: Paolo Vidoni

https://doi.org/10.1111/j.1467-9892.2009.00626.x Actions

Estimation of functional-coefficient autoregressive models with measurement error

JOURNAL ARTICLE published November 2022 in Journal of Multivariate Analysis

Authors: Pei Geng

https://doi.org/10.1016/j.jmva.2022.105077 Actions

Unit Root Tests in Autoregressive Models

OTHER published 17 April 2017 in Time Series Analysis

https://doi.org/10.1002/9781119132165.ch8 Actions
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