Large sample properties of parameter least squares estimates for time-varying arma models

This paper considers estimation of ARMA models with time-varying coefficients. The ARMA parameters belong to d different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi-generalized least squares estimators are shown. Copyright 2004 Blackwell Publishing Ltd.

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Year of publication:	2004
Authors:	Francq, Christian ; Gautier, Antony
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 5, p. 765-783
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/10005260730