Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Michael F. Bleaney & Stephen J. Leybourne & Paul Mizen, 1999. "Mean Reversion of Real Exchange Rates in High-Inflation Countries," Southern Economic Journal, Southern Economic Association, vol. 65(4), pages 839-854, April.
- S. Y. Hwang & I. V. Basawa, 2005. "Explosive Random-Coefficient AR(1) Processes and Related Asymptotics for Least-Squares Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 807-824, November.
- 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.
- Alexander Aue & Lajos Horváth & Josef Steinebach, 2006. "Estimation in Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 61-76, January.
- Robert Sollis & Paul Newbold & Stephen Leybourne, 2000. "Stochastic unit roots modelling of stock price indices," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 311-315.
- Michael Bleaney & Stephen J. Leybourne, 2003. "Real Exchange Rate Dynamics Under The Current Float: A Re-Examination," Manchester School, University of Manchester, vol. 71(2), pages 156-171, March.
- 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.
- István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.
- Hwang, S.Y. & Basawa, I.V. & Yoon Kim, Tae, 2006. "Least squares estimation for critical random coefficient first-order autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 310-317, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017.
"Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour,"
Economics and Statistics Working Papers
18-2017, Singapore Management University, School of Economics.
- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:79:y:2009:i:24:p:2476-2483. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .