Estimation of Parameters in the NLAR(p) Model

In this article, we study a new Laplace autoregressive model of order p- NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi-likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation studies. Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd

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Year of publication:	2008
Authors:	Zhu, Fukang ; Wang, Dehui
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 29.2008, 4, p. 619-628
Publisher:	Wiley Blackwell

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

Persistent link: https://www.econbiz.de/10005260748