TY - JOUR
T1 - Random autoregressive models
T2 - A structured overview
AU - Regis, Marta
AU - Serra, Paulo
AU - van den Heuvel, Edwin R.
N1 - Publisher Copyright:
© 2021 The Author(s). Published with license by Taylor and Francis Group, LLC.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2022/4
Y1 - 2022/4
N2 - 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.
AB - 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.
KW - (Generalized) Autoregressive conditional heteroskedasticity models
KW - (Generalized) Random coefficient autoregressive models
KW - Autoregressive panel data models
KW - C22
KW - C23
KW - C24
KW - C32
KW - C33
KW - Random coefficient panel models
KW - Time-series-cross-section models
UR - http://www.scopus.com/inward/record.url?scp=85103618863&partnerID=8YFLogxK
U2 - 10.1080/07474938.2021.1899504
DO - 10.1080/07474938.2021.1899504
M3 - Article
AN - SCOPUS:85103618863
SN - 0747-4938
VL - 41
SP - 207
EP - 230
JO - Econometric Reviews
JF - Econometric Reviews
IS - 2
ER -