Random coefficient continuous systems: Testing for extreme sample path behavior
نویسندگان
چکیده
منابع مشابه
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour∗
This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive behaviour according to specific regions of the parameter space that open up the potential for testing...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2019.01.002