arXiv 12 Jan 2023 · Econometrics · publishedEconometric Theory (2025)
arXiv:2301.04853 · PDF · DOI · OpenAlex · Extracted main text
In this study, we propose a test for the coefficient randomness in autoregressive models where the autoregressive coefficient is local to unity, which is empirically relevant given the results of earlier studies. Under this specification, we theoretically analyze the effect of the correlation between the random coefficient and disturbance on tests' properties, which remains largely unexplored in the literature. Our analysis reveals that the correlation crucially affects the power of tests for coefficient randomness and that tests proposed by earlier studies can perform poorly when the degree of the correlation is moderate to large. The test we propose in this paper is designed to have a power function robust to the correlation. Because the asymptotic null distribution of our test statistic depends on the correlation $\psi$ between the disturbance and its square as earlier tests do, we also propose a modified version of the test statistic such that its asymptotic null distribution is free from the nuisance parameter $\psi$. The modified test is shown to have better power properties than existing ones in large and finite samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Campbell and Yogo (2006) Efficient Tests of Stock Return Predictability | 1.000 | 12 | 4 | 100% |
| 2 | Nagakura (2009) Testing for Coefficient Stability of AR(1) Model When the Null Is an Integrated or a Stationary Process | 1.000 | 10 | 3 | 100% |
| 3 | Horváth and Trapani (2019) Testing for Randomness in a Random Coefficient Autoregression Model | 1.000 | 9 | 4 | 100% |
| 4 | Phillips (2014) On Confidence Intervals for Autoregressive Roots and Predictive Regression | 1.000 | 5 | 3 | 100% |
| 5 | Nishi and Kurozumi (2022) Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing.Technical Report 2022-02, Gra… | 0.935 | 11 | 4 | 82% |
| 6 | Lee (1998) Coefficient Constancy Test in a Random Coefficient Autoregressive Model | 0.644 | 4 | 1 | 100% |
| 7 | Distaso (2008) Testing for Unit Root Processes in Random Coefficient Autoregressive Models | 0.644 | 2 | 2 | 100% |
| 8 | Hill and Peng (2014) Unified Interval Estimation for Random Coefficient Autoregressive Models | 0.644 | 2 | 2 | 100% |
| 9 | Kostakis, Magdalinos and Stamatogiannis (2015) Robust Econometric Inference for Stock Return Predictability | 0.644 | 2 | 2 | 100% |
| 10 | Phillips and Lee (2013) Predictive Regression under Various Degrees of Persistence and Robust Long-Horizon Regression | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 26 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions | 0.928 | 5 | 3 |