Estimation in Random Coefficient Autoregressive Models

We propose the quasi-maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions. Copyright 2006 Blackwell Publishing Ltd.

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Year of publication:	2006
Authors:	Aue, Alexander ; Horváth, Lajos ; Steinebach, Josef
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 27.2006, 1, p. 61-76
Publisher:	Wiley Blackwell

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

Persistent link: https://www.econbiz.de/10005260726