We propose a test for the null of strict stationarity in a Random Coefficient AutoRegression (RCAR) of order 1. The test can also be used in the case of a standard AR(1) model, and it can be applied under minimal requirements on the existence of moments — in both cases without requiring any modifications or prior knowledge.

中文翻译：

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一阶随机系数自回归模型中严格平稳性的检验

我们提出了一种检验 1 阶随机系数自回归 (RCAR) 中严格平稳性为零的检验。该检验也可用于标准 AR(1) 模型的情况，并且可以在对矩的存在——在这两种情况下都不需要任何修改或先验知识。