Random autoregressive models: A structured overview

Marta Regis (Corresponding author), Paulo Serra, Edwin R. van den Heuvel

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)
3 Downloads (Pure)

Abstract

Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sector-specific, overlapping, and confusing. Most models focus on one property of the data, while much can be gained by combining the strength of various models and their sources of heterogeneity. We present a structured overview of the literature on autoregressive models with random coefficients. We describe hierarchy and analogies among models, and for each we systematically list properties, estimation methods, tests, software packages and typical applications.

Original languageEnglish
Pages (from-to)207-230
Number of pages24
JournalEconometric Reviews
Volume41
Issue number2
DOIs
Publication statusPublished - Apr 2022

Keywords

  • (Generalized) Autoregressive conditional heteroskedasticity models
  • (Generalized) Random coefficient autoregressive models
  • Autoregressive panel data models
  • C22
  • C23
  • C24
  • C32
  • C33
  • Random coefficient panel models
  • Time-series-cross-section models

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