The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper...

A recursive formula for computing the exact value of score vectors is proposed, which is more desirable than approximate values in some statistical analyses, for a general form of the linear Gaussian state space model. Unlike most extant methods, our formula calculates all components of the...

Recently Chiba and Kobayashi (2013) have proposed the Lagrange multiplier (LM) test for the null hypothesis that volatilities of two asset return processes are driven by only one stochastic volatility (SV) process in a bivariate SV model. They apply their LM test to Asian stock market index...