Unified Interval Estimation For Random Coefficient Autoregressive Models
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Cited by:
- Lorenzo Trapani, 2021.
"Testing for strict stationarity in a random coefficient autoregressive model,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
- Lorenzo Trapani, 2018. "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers 18/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Proïa, Frédéric & Soltane, Marius, 2021. "Comments on the presence of serial correlation in the random coefficients of an autoregressive process," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Mikihito Nishi, 2023. "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers 2301.04853, arXiv.org, revised Jan 2023.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019.
"Random coefficient continuous systems: Testing for extreme sample path behavior,"
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- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
- Horváth, Lajos & Trapani, Lorenzo, 2019.
"Testing for randomness in a random coefficient autoregression model,"
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- Lajos Horvath & Lorenzo Trapani, 2018. "Testing for randomness in a random coefficient autoregression model," Discussion Papers 18/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
- Horváth, Lajos & Trapani, Lorenzo, 2016. "Statistical inference in a random coefficient panel model," Journal of Econometrics, Elsevier, vol. 193(1), pages 54-75.
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