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Random Coefficient Autoregressive Processes:A Markov Chain Analysis Of Stationarity And Finiteness Of Moments

Citations

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Cited by:

  1. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  2. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
  3. Federico M Bandi & Valentina Corradi & Daniel Wilhelm, 2016. "Possibly Nonstationary Cross-Validation," CeMMAP working papers CWP11/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Lee, Oesook, 1997. "Limit theorems for some doubly stochastic processes," Statistics & Probability Letters, Elsevier, vol. 32(2), pages 215-221, March.
  5. Paul D. Feigin, 2020. "Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No.," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 899-900, November.
  6. Hwang, Sun Y. & Basawa, I. V., 2001. "Nonlinear time series contiguous to AR(1) processes and a related efficient test for linearity," Statistics & Probability Letters, Elsevier, vol. 52(4), pages 381-390, May.
  7. An, Hongzhi & Chen, Min & Huang, Fuchun, 1997. "The geometric ergodicity and existence of moments for a class of non-linear time series model," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 213-224, January.
  8. Abdelhakim Aknouche, 2015. "Quadratic random coefficient autoregression with linear-in-parameters volatility," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 99-125, July.
  9. Federico M Bandi & Valentina Corradi & Daniel Wilhelm, 2016. "Possibly Nonstationary Cross-Validation," CeMMAP working papers 11/16, Institute for Fiscal Studies.
  10. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
  11. László Gerencsér & Zsanett Orlovits, 2012. "Real time estimation of stochastic volatility processes," Annals of Operations Research, Springer, vol. 200(1), pages 223-246, November.
  12. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  13. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Working Papers hal-01436267, HAL.
  14. Aknouche, Abdelhakim & Gouveia, Sonia & Scotto, Manuel, 2023. "Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs," MPRA Paper 119518, University Library of Munich, Germany, revised 18 Dec 2023.
  15. Aknouche Abdelhakim, 2013. "Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 25-46, January.
  16. Liu, Ji-Chun, 2012. "Structure of a double autoregressive process driven by a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1468-1473.
  17. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
  18. repec:bgu:wpaper:0608 is not listed on IDEAS
  19. Galyna Grynkiv & Lars Stentoft, 2018. "Stationary Threshold Vector Autoregressive Models," JRFM, MDPI, vol. 11(3), pages 1-23, August.
  20. Hwang, S. Y. & Basawa, I. V., 1997. "The local asymptotic normality of a class of generalized random coefficient autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 34(2), pages 165-170, June.
  21. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
  22. Serguei Pergamenchtchikov & Alexander G. Tartakovsky, 2018. "Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 217-259, April.
  23. Knight John & Satchell Stephen, 2011. "Some New Results for Threshold AR(1) Models," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-42, April.
  24. Bibi, Abdelouahab & Lessak, Radia, 2009. "On stationarity and [beta]-mixing of periodic bilinear processes," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 79-87, January.
  25. Amendola, Alessandra & Christian, Francq, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany.
  26. Pergamenchtchikov, Serguei & Tartakovsky, Alexander G., 2019. "Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
  27. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  28. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  29. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
  30. Rasmus Søndergaard Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print hal-01436267, HAL.
  31. Lee, Chanho, 1998. "Asymptotics of a class of pth-order nonlinear autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 171-177, September.
  32. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
  33. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(3), pages 722-729, June.
  34. Zheqi Wang & Dehui Wang & Jianhua Cheng, 2023. "A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(2), pages 619-658, June.
  35. Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
  36. Hwang, S.Y. & Basawa, I.V., 2011. "Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality," Journal of Multivariate Analysis, Elsevier, vol. 102(6), pages 1018-1031, July.
  37. 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.
  38. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
  39. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
  40. Aue, Alexander, 2004. "Strong approximation for RCA(1) time series with applications," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 369-382, July.
  41. Babii, Andrii & Chen, Xi & Ghysels, Eric, 2019. "Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty," Journal of Econometrics, Elsevier, vol. 212(1), pages 47-77.
  42. A. Malyarenko & V. Vasiliev, 2012. "On parameter estimation of partly observed bilinear discrete-time stochastic systems," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(3), pages 403-424, April.
  43. Klüppelberg, Claudia & Pergamenchtchikov, Serguei, 2007. "Extremal behaviour of models with multivariate random recurrence representation," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 432-456, April.
  44. Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
  45. Hwang, S.Y. & Basawa, I.V., 2009. "Branching Markov processes and related asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1155-1167, July.
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