IDEAS home Printed from https://ideas.repec.org/r/bla/jtsera/v6y1985i1p1-14.html

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
  5. 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.
  6. Alessandra Amendola & Christian Francq, 2009. "Concepts of and tools for Nonlinear Time-Series Modelling," Post-Print hal-05417886, HAL.
  7. repec:bgu:wpaper:0608 is not listed on IDEAS
  8. 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.
  9. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
  10. 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.
  11. 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.
  12. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
  13. 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.
  14. 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).
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Aue, Alexander, 2004. "Strong approximation for RCA(1) time series with applications," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 369-382, July.
  24. 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.
  25. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Papers 1701.05091, arXiv.org, revised Dec 2017.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Galyna Grynkiv & Lars Stentoft, 2018. "Stationary Threshold Vector Autoregressive Models," JRFM, MDPI, vol. 11(3), pages 1-23, August.
  31. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Working Papers hal-01436267, HAL.
  32. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
  39. 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.
  40. 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.
  41. László Gerencsér & Zsanett Orlovits, 2012. "Real time estimation of stochastic volatility processes," Annals of Operations Research, Springer, vol. 200(1), pages 223-246, November.
  42. Lee, Oesook, 1997. "Limit theorems for some doubly stochastic processes," Statistics & Probability Letters, Elsevier, vol. 32(2), pages 215-221, March.
  43. Lee, Chanho, 1998. "Asymptotics of a class of pth-order nonlinear autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 171-177, September.
  44. Federico M Bandi & Valentina Corradi & Daniel Wilhelm, 2016. "Possibly Nonstationary Cross-Validation," CeMMAP working papers 11/16, Institute for Fiscal Studies.
  45. 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. 1 (1985)," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 899-900, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.