Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions

DOI10.1515/jtse-2012-0011zbMath1499.62293OpenAlexW68231100MaRDI QIDQ1695555

Abdelhakim Aknouche

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2012-0011

zbMATH Keywords

asymptotic normalityweighted least squaresRCA processMarkov bilinear processnon-strict stationarity

Mathematics Subject Classification ID

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

Related Items (2)

Explosive strong periodic autoregression with multiplicity one ⋮ Quadratic random coefficient autoregression with linear-in-parameters volatility

Cites Work

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• Martingale Central Limit Theorems
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