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Efficient detection of random coefficients in autoregressive models


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  • Abdelhadi Akharif
  • Marc Hallin


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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/127956.

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Date of creation: Apr 2003
Date of revision:
Publication status: Published in: Annals of statistics (2003) v.31 n° 2,p.675-704
Handle: RePEc:ulb:ulbeco:2013/127956

Note: SCOPUS: ar.j
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Related research

Keywords: Local asymptotic normality; One-sided multiparameter alternatives; One-sided multiparameter tests; Random coefficient autoregressive models;


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Cited by:
  1. Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers, Centre de Recherche en Economie et Statistique 2008-04, Centre de Recherche en Economie et Statistique.
  2. Lu, Zeng-Hua, 2013. "Halfline tests for multivariate one-sided alternatives," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 57(1), pages 479-490.
  3. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006, Society for Computational Economics 64, Society for Computational Economics.
  4. Bennala, Nezar & Hallin, Marc & Paindaveine, Davy, 2012. "Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 50-67.


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