Estimation of time-varying ARMA models with Markovian changes in regime

In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.

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Year of publication:	2004
Authors:	Francq, Christian ; Gautier, Antony
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 4, p. 243-251
Publisher:	Elsevier
Keywords:	Time-varying ARMA models Non-stationary processes Quasi-generalized least-squares estimator Asymptotic covariance matrix Markovian changes in regime

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

Persistent link: https://www.econbiz.de/10005143393