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Testing for unit root processes in random coefficient autoregressive models

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  • Distaso, Walter

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  • Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
    • Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:581-609
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    2. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    3. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
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    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. Abadir, Karim M., 1993. "On the Asymptotic Power of Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 9(2), pages 189-221, April.
    8. Xiao, Zhijie, 2001. "Likelihood-Based Inference In Trending Time Series With A Root Near Unity," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1082-1112, December.
    9. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    10. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    11. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    18. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.
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    21. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    22. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
    23. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    24. Pere, Pekka, 2003. "Ar(1) Models, Unit Roots, And Adjusted Profile Likelihood," Econometric Theory, Cambridge University Press, vol. 19(6), pages 885-922, December.
    25. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
    26. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 167-176, April.
    27. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
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    1. Auray, Stéphane & Eyquem, Aurélien & Jouneau-Sion, Frédéric, 2014. "Modeling tails of aggregate economic processes in a stochastic growth model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 76-94.
    2. Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
    3. 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.
    4. Westerlund, Joakim & Larsson, Rolf, 2012. "Testing for a unit root in a random coefficient panel data model," Journal of Econometrics, Elsevier, vol. 167(1), pages 254-273.
    5. Philip Bertram & Teresa Flock & Jun Ma & Philipp Sibbertsen, 2022. "Real Exchange Rates and Fundamentals in a new Markov‐STAR Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 356-379, April.
    6. Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
    7. Mikihito Nishi, 2023. "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers 2301.04853, arXiv.org, revised Jan 2023.
    8. Horváth, Lajos & Trapani, Lorenzo, 2019. "Testing for randomness in a random coefficient autoregression model," Journal of Econometrics, Elsevier, vol. 209(2), pages 338-352.
    9. Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion, 2009. "Extremal behavior of aggregated economic processes in a structural growth model," Cahiers de recherche 09-17, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, revised 10 Mar 2010.
    10. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

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