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A unified approach for the tentative specification of the order of mixed stationary and nonstationary ARMA models is proposed. For the ARMA models, an iterative regression procedure is given to ...
We consider a stationary AR(1) process with ARCH(1) errors given by the stochastic difference equation $X_{t}=\alpha X_{t-1}+\sqrt{\beta +\lambda X_{t-1}^{2 ...
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