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Large sample properties of parameter least squares estimates for time‐varying arma models
Author(s) -
Francq Christian,
Gautier Antony
Publication year - 2004
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.1467-9892.2004.02003.x
Subject(s) - mathematics , estimator , strong consistency , asymptotic distribution , least squares function approximation , statistics , consistency (knowledge bases) , autoregressive–moving average model , generalized least squares , total least squares , econometrics , autoregressive model , regression analysis , geometry
. This paper considers estimation of ARMA models with time‐varying coefficients. The ARMA parameters belong to d different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi‐generalized least squares estimators are shown.