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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 ...
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 ...
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