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THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
Author(s) -
Nicholls D. F.,
Quinn B. G.
Publication year - 1980
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1980.tb00299.x
Subject(s) - autoregressive model , mathematics , monte carlo method , star model , statistics , central limit theorem , setar , econometrics , autoregressive integrated moving average , time series
. This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.