Estimation in nonstationary random coefficient autoregressive models

DOI10.1111/J.1467-9892.2009.00615.XMaRDI QIDQ3077655zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Shiqing Ling, István Berkes

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.0022

zbMATH Keywords

asymptotic normalityconsistencylaw of large numbersquasi-maximum likelihoodrandom coefficients model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter cannot be estimated by the quasi-maximum likelihood method. The asymptotic normality of the quasi-maximum likelihood estimator for the remaining model parameters is proven so the unit root problem does not exist in the random coefficient autoregressive model.

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Cited in

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