Parameter estimation in a regression model with random coefficient autoregressive errors

DOI10.1016/0378-3758(93)90101-BMaRDI QIDQ2368340zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• The Stability of Random Coefficient Autoregressive Models

Cited in

(21)

• scientific article; zbMATH DE number 4026551 (Why is no real title available?)
• Least squares estimation for critical random coefficient first-order autoregressive processes
• PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS
• Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
• Asymptotic normality of autoregressive processes
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors
• LAD estimation with random coefficient autocorrelated errors.
• The least-squares criteria of the random coefficient dynamic regression model
• Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
• A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
• Parameter estimation in regression models with autocorrelated errors using irregular data
• Estimation in Random Coefficient Autoregressive Models
• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• M-estimates of autoregression with random coefficients
• scientific article; zbMATH DE number 3967699 (Why is no real title available?)
• L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors
• Efficient detection of random coefficients in autoregressive models
• Parameter estimation for generalized random coefficient autoregressive processes
• scientific article; zbMATH DE number 4172209 (Why is no real title available?)
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

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