Testing for random coefficient autoregressive and stochastic unit root models
Year of publication: |
2023
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Authors: | Nagakura, Daisuke |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 1, p. 117-129
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Subject: | exact score | Lagrange multiplier test | random coefficient autoregressive model | state space model | stochastic unit root model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Autokorrelation | Autocorrelation |
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