Bayesian estimation and unit root tests for Random Coefficient AutoRegressive models

Model Assisted Statistics and Applications ◽

10.3233/mas-2008-3401 ◽

2008 ◽

Vol 3 (4) ◽

pp. 281-295 ◽

Author(s):

Dazhe Wang ◽

Sujit K. Ghosh

Keyword(s):

Bayesian Estimation ◽

Unit Root ◽

Random Coefficient ◽

Unit Root Tests ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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Maximum Likelihood Estimation and Unit Root Test for First Order Random Coefficient AutoRegressive Models

Journal of Statistical Theory and Practice ◽

10.1080/15598608.2010.10411985 ◽

2010 ◽

Vol 4 (2) ◽

pp. 261-278 ◽

Author(s):

Dazhe Wang ◽

Sujit K. Ghosh ◽

Sastry G. Pantula

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Unit Root Test ◽

Likelihood Estimation ◽

Random Coefficient ◽

Autoregressive Models ◽

First Order ◽

Random Coefficient Autoregressive

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Testing for unit root processes in random coefficient autoregressive models

Journal of Econometrics ◽

10.1016/j.jeconom.2007.09.002 ◽

2008 ◽

Vol 142 (1) ◽

pp. 581-609 ◽

Author(s):

Walter Distaso

Keyword(s):

Unit Root ◽

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

Statistics & Probability Letters ◽

10.1016/j.spl.2009.09.001 ◽

2009 ◽

Vol 79 (24) ◽

pp. 2476-2483 ◽

Author(s):

Daisuke Nagakura

Keyword(s):

Unit Root ◽

Asymptotic Theory ◽

Unit Root Test ◽

Random Coefficient ◽

Autoregressive Models ◽

Unit Root Process ◽

Random Coefficient Autoregressive

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Variable selection in generalized random coefficient autoregressive models

Journal of Inequalities and Applications ◽

10.1186/s13660-018-1680-4 ◽

2018 ◽

Vol 2018 (1) ◽

Author(s):

Zhiwen Zhao ◽

Yangping Liu ◽

Cuixin Peng

Keyword(s):

Variable Selection ◽

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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Random Coefficient Autoregressive Models: An Introduction

10.1007/978-1-4684-6273-9 ◽

1982 ◽

Author(s):

Des F. Nicholls ◽

Barry G. Quinn

Keyword(s):

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2014.919401 ◽

2016 ◽

Vol 45 (14) ◽

pp. 4268-4284

Author(s):

Abdelouahab Bibi

Keyword(s):

Moment Method ◽

Random Coefficient ◽

Autoregressive Models ◽

Two Stage ◽

Method Approach ◽

Generalized Moment ◽

Random Coefficient Autoregressive

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Estimation in Random Coefficient Autoregressive Models

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2005.00453.x ◽

2006 ◽

Vol 27 (1) ◽

pp. 61-76 ◽

Author(s):

Alexander Aue ◽

Lajos Horvath ◽

Josef Steinebach

Keyword(s):

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS

Journal of Time Series Analysis ◽

10.1111/jtsa.12041 ◽

2013 ◽

Vol 34 (6) ◽

pp. 646-667 ◽

Author(s):

Thorsten Fink ◽

Jens-Peter Kreiss

Keyword(s):

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS

Journal of Time Series Analysis ◽

10.1111/jtsa.12064 ◽

2014 ◽

Vol 35 (3) ◽

pp. 282-297 ◽

Author(s):

Jonathan Hill ◽

Liang Peng

Keyword(s):

Interval Estimation ◽

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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A link between random coefficient autoregressive models and some agent based models

Journal of Economic Interaction and Coordination ◽

10.1007/s11403-010-0077-3 ◽

2011 ◽

Vol 6 (1) ◽

pp. 83-92

Author(s):

Mamadou Abdoulaye Konté

Keyword(s):

Random Coefficient ◽

Autoregressive Models ◽

Agent Based Models ◽

Agent Based ◽

Random Coefficient Autoregressive

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