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

Lorenzo Trapani

Statistics & Probability Letters, 2021, vol. 177, issue C

Abstract: We propose a test for the null of strict stationarity in a Random Coefficient AutoRegression (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.

Keywords: Random coefficient autoregression; Stationarity; Heavy tails (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2021.109164

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