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...

In this note, I review how to impose the stationarity and invertibility conditions in estimating ARMA models with unconstrained optimization. Specifically, I reintroduce a convenient transformation of unconstrained variables proposed by Jones (1980), illustrating how to compute its inverse...

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper bound of the correlation implied from the...