The local asymptotic normality of a class of generalized random coefficient autoregressive processes

The local asymptotic normality for a class of generalized random coefficient autoregressive processes is established. This property implies the asymptotic optimality of the maximum likelihood estimator and the related test statistics. The model includes standard random coefficient autoregressive processes, Markovian bilinear models, and random coefficient exponential autoregressive processes as special cases.

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Year of publication:	1997
Authors:	Hwang, S. Y. ; Basawa, I. V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 34.1997, 2, p. 165-170
Publisher:	Elsevier
Subject:	Nonlinear time series Asymptotic inference \| Random coefficient models Local asymptotic normality

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

Persistent link: https://www.econbiz.de/10005254364