The Stochastic Stationary Root Model

The Stochastic Stationary Root Model

We propose and study the stochastic stationary root model. The model resembles the cointegrated VAR model but is novel in that: (i) the stationary relations follow a random coefficient autoregressive process, i.e., exhibhits heavy-tailed dynamics, and (ii) the system is observed with measurement err...

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Bibliographic Details
Main Author: Andreas Hetland
Format: Article
Language:English
Published: MDPI AG 2018-08-01
Series:Econometrics
Subjects:
cointegration
particle filtering
random coefficient autoregressive model
state space model
stochastic approximation
Online Access:http://www.mdpi.com/2225-1146/6/3/39

Internet

http://www.mdpi.com/2225-1146/6/3/39

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