Testing for unit root processes in random coefficient autoregressive models

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 581-609

  Distaso, Walter ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

One sided tests; Random coefficient autoregressive models; Unit root testing

Indexed keywords

ASYMPTOTIC ANALYSIS; DISTRIBUTION FUNCTIONS; MATHEMATICAL MODELS; MONTE CARLO METHODS; RANDOM PROCESSES;

NONZERO DRIFT PROCESSES; RANDOM COEFFICIENT AUTOREGRESSIVE MODELS; UNIT ROOT PROCESSES; UNIT ROOT TESTING;

RANDOM VARIABLES;

EID: 36148950077     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.09.002     Document Type: Article

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