Chang, Chia-Lin; McAleer, Michael - 2016
stochastic process, so that the alternative hypothesis is also arbitrary, which can affect the power of the test. The purpose of … underlying stochastic process, namely a random coefficient autoregressive process, and for which the (quasi-) maximum likelihood … estimates have valid asymptotic properties. The simple test is intuitively appealing as it is based on an underlying stochastic …
