A test for strict stationarity in a random coefficient autoregressive model of order 1

Trapani, Lorenzo

Abstract

We propose a test for the null of strict stationarity in a Random Coefficient AutoRe-gression (RCAR) of order 1. The test can also be used in the case of a standard AR(1) model, and it can be applied under minimal requirements on the existence of moments-in both cases without requiring any modifications or prior knowledge.

Citation

Trapani, L. (2021). A test for strict stationarity in a random coefficient autoregressive model of order 1. Statistics and Probability Letters, 177, Article 109164. https://doi.org/10.1016/j.spl.2021.109164

• Journal Article Type: Article
• Acceptance Date: May 20, 2021
• Online Publication Date: Jun 2, 2021
• Publication Date: 2021-10
• Deposit Date: May 24, 2021
• Publicly Available Date: Jun 3, 2023
• Journal: Statistics and Probability Letters
• Print ISSN: 0167-7152
• Electronic ISSN: 1879-2103
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 177
• Article Number: 109164
• DOI: https://doi.org/10.1016/j.spl.2021.109164
• Keywords: Random Coefficient AutoRegression; Stationarity; Heavy Tails
• Public URL: https://nottingham-repository.worktribe.com/output/5569421
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0167715221001267