EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS

type="main" xml:id="jtsa12070-abs-0001">A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule–Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.

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Year of publication:	2014
Authors:	Tang, L. ; Shao, Q.
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 35.2014, 4, p. 378-389
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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