Search Results - subject:"Random coefficient"

Random-Coefficient periodic autoregression

Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2005

leads to a random-coefficient periodic autoregression with a substantial reduction in the number of parameters to be …

Persistent link: https://www.econbiz.de/10010731866

Random-Coefficient periodic autoregression

Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005

leads to a random-coefficient periodic autoregression with a substantial reduction in the number of parameters to be … 10 11 12 month unrestricted PAR restricted PAR random-coefficient PAR Figure 3: Estimated PAR(1) parameters for the three …

Persistent link: https://www.econbiz.de/10004991132

Managing product-harm crises

Heerde, Harald J. van (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003088630

Testing for a unit root in a random coefficient panel data model

Westerlund, Joakim; Larsson, Rolf - In: Journal of Econometrics 167 (2012) 1, pp. 254-273

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test...

Persistent link: https://www.econbiz.de/10010574088