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 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

MoreLess

Year of publication:	2004
Authors:	Francq, Christian ; Gautier, Antony
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details
Report error

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014070366