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A test for strict stationarity in a random coefficient autoregressive model of order 1

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  • Trapani, Lorenzo

Abstract

We propose a test for the null of strict stationarity in a Random Coefficient AutoRegression (RCAR) of order 1. The test can also be used in the case of a standard AR(1) model, and it can be applied under minimal requirements on the existence of moments — in both cases without requiring any modifications or prior knowledge.

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  • Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
    • Handle: RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001267
    DOI: 10.1016/j.spl.2021.109164
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    1. Daisuke Nagakura, 2009. "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series 09-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
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    9. Horváth, Lajos & Trapani, Lorenzo, 2019. "Testing for randomness in a random coefficient autoregression model," Journal of Econometrics, Elsevier, vol. 209(2), pages 338-352.
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    2. Marie Badreau & Frédéric Proïa, 2023. "Consistency and asymptotic normality in a class of nearly unstable processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(3), pages 619-641, October.

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