Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters

This paper establishes several almost sure asymptotic properties of general autoregressive processes. By making use of these properties, we obtain a proof of the strong consistency of the least-squares estimates of the parameters of the process without any assumption on the roots of the characteristic polynomial.

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Year of publication:	1983
Authors:	Lai, T. L. ; Wei, C. Z.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 1, p. 1-23
Publisher:	Elsevier
Keywords:	Autoregressive processes characteristic polynomial purely explosive and non-explosive models least-squares estimates strong consistency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160488