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Multiple autoregressive models with random coefficients

Author

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  • Nicholls, D. F.
  • Quinn, B. G.

Abstract

This paper derives conditions for the stationarity of a class of multiple autoregressive models with random coefficients. The models considered include as special cases those previously discussed by Andel (Ann. Math. Statist.42 (1971), 755-759; Math. Operationsforsch. Statist.7 (1976), 735-741).

Suggested Citation

  • Nicholls, D. F. & Quinn, B. G., 1981. "Multiple autoregressive models with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 11(2), pages 185-198, June.
    • Handle: RePEc:eee:jmvana:v:11:y:1981:i:2:p:185-198
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    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    2. Proïa, Frédéric & Soltane, Marius, 2021. "Comments on the presence of serial correlation in the random coefficients of an autoregressive process," Statistics & Probability Letters, Elsevier, vol. 170(C).

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