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

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

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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