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Start Over Author "Aknouche, Abdelhakim" Publisher elsevier b.v.
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9. Periodic stationarity of random coefficient periodic autoregressions

Author

Aknouche, Abdelhakim and Guerbyenne, Hafida

Subjects
*AUTOREGRESSION (Statistics), *STATIONARY processes, *MULTILEVEL models, *GENERALIZABILITY theory, *PARAMETER estimation, *ANALYSIS of variance, *SET theory
Abstract

Abstract: This paper studies periodic stationarity of a random coefficient periodic autoregression which generalizes the standard random coefficient autoregressive model to the case where the deterministic parameters and the disturbance variances are periodically time-varying. Sufficient conditions for the existence of a (strictly and second-order) periodically stationary solution to the equation are proposed. As an application, we study periodic stationarity of a class of periodic bilinear models and a periodic autoregression with periodic errors. [Copyright &y& Elsevier]

Published
2009
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