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Search: subject:"random coefficient autoregression"
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Estimation theory
6
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6
Time series analysis
4
Zeitreihenanalyse
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Autocorrelation
3
Autokorrelation
3
Random coefficient autoregression
3
Stochastic process
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2
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random coefficient autoregression
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Bubble testing
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1
Continuous time models
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Lagrange multiplier and likelihood ratio tests
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Nonstationarity
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Panel data
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Purchasing power parity
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Random Coefficient Autoregression
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Random coefficient autoRegression
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Trapani, Lorenzo
5
Horváth, Lajos
4
Phillips, Peter C. B.
1
Tao, Yubo (Robert)
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VanderDoes, Jeremy
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Yoon, Gawon
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Journal of econometrics
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ECONIS (ZBW)
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The maximally selected likelihood ratio test in random coefficient models
Horváth, Lajos
;
Trapani, Lorenzo
;
VanderDoes, Jeremy
- In:
The econometrics journal
27
(
2024
)
3
,
pp. 384-411
Persistent link: https://www.econbiz.de/10015357815
Saved in:
2
Changepoint detection in heteroscedastic random coefficient autoregressive models
Horváth, Lajos
;
Trapani, Lorenzo
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1300-1314
Persistent link: https://www.econbiz.de/10014448637
Saved in:
3
Testing for strict stationarity in a random coefficient autoregressive model
Trapani, Lorenzo
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 220-256
Persistent link: https://www.econbiz.de/10012515596
Saved in:
4
Random coefficient continuous systems : testing for extreme sample path behavior
Tao, Yubo (Robert)
;
Phillips, Peter C. B.
;
Yu, Jun
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 208-237
Persistent link: https://www.econbiz.de/10012302568
Saved in:
5
Testing for randomness in a
random
coefficient
autoregression
model
Horváth, Lajos
;
Trapani, Lorenzo
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 338-352
Persistent link: https://www.econbiz.de/10012302602
Saved in:
6
Stochastic unit root processes : maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests
Yoon, Gawon
- In:
Economic modelling
52
(
2016
),
pp. 725-732
Persistent link: https://www.econbiz.de/10011643010
Saved in:
7
Statistical inference in a random coefficient panel model
Horváth, Lajos
;
Trapani, Lorenzo
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 54-75
Persistent link: https://www.econbiz.de/10011704762
Saved in:
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