Efficient detection of random coefficients in AR(p) models
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2121.
Date of creation: 2003
Date of revision:
Publication status: Published in: Annals of Statistics (2003) v.31,p.675-704
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- Christian Francq & Jean-Michel Zakoïan, 2008.
"Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons,"
2008-04, Centre de Recherche en Economie et Statistique.
- Francq, Christian & ZakoÃ¯an, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
- Daisuke Nagakura, 2007. "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series 07-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
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