Estimation in Random Coefficient Autoregressive Models

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Estimation in nonstationary random coefficient autoregressive models (2009, background): “…1980, 1982) that under condition (2) and E logþ je0j < 1 and E logþ ju þ b0j < 1; ð3Þ (1) has a stationary, nonanticipating (i.e. Xk is measurable with respect to the ralgebra generated by (bi, ei), i k) solution if and only if 1 E log juþ b0j < 0: ð4Þ Quinn and Nicholls (1981) started the…”
QUASI-LIKELIHOOD ESTIMATION IN STATIONARY AND NONSTATIONARY AUTOREGRESSIVE MODELS WITH RANDOM COEFFICIENTS (2011, methodology): “We use the QMLE procedure to estimate the parameters of the processes (X(`)j : j ∈ N), ` = 1, . . . , 4.”
Unit root vector autoregression with volatility induced stationarity (2014, background): “In terms of (1), we show that adding a constant term,  say, on the right hand side does not imply a linear trend, nor that the properties of  in terms of stationarity and (geometric) ergodicity are changed, despite the unit-root in .”