The estimation of multivariate random coefficient autoregressive models

Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

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Year of publication:	1981
Authors:	Nicholls, D. F. ; Quinn, B. G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 11.1981, 4, p. 544-555
Publisher:	Elsevier
Keywords:	random coefficient multiple autoregression strict stationarity ergodic martingale

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

Persistent link: https://www.econbiz.de/10005221530