Parameter estimation in a regression model with random coefficient autoregressive errors

DOI10.1016/0378-3758(93)90101-BzbMATH Open0771.62069OpenAlexW1977083923MaRDI QIDQ2368340FDOQ2368340

S. Y. Hwang, I. V. Basawa

Publication date: 24 August 1993

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(93)90101-b

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zbMATH Keywords

limit distributionnonlinear time seriesregressionleast squares estimators\(m\)-dependent processesrandom coefficient autoregressive errorsweighted central limit theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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• The Stability of Random Coefficient Autoregressive Models

Cited In (19)

• Asymptotic normality of autoregressive processes
• The least-squares criteria of the random coefficient dynamic regression model
• Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
• Title not available (Why is that?)
• Parameter estimation in regression models with autocorrelated errors using irregular data
• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• Efficient detection of random coefficients in autoregressive models
• Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors
• Parameter estimation for generalized random coefficient autoregressive processes
• PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS
• Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
• Title not available (Why is that?)
• A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
• LAD estimation with random coefficient autocorrelated errors.
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• Title not available (Why is that?)
• Estimation in Random Coefficient Autoregressive Models
• Least squares estimation for critical random coefficient first-order autoregressive processes
• L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors

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