Least squares estimation in a simple random coefficient autoregressive model

DOI10.1016/j.jeconom.2013.04.013zbMath1288.62126OpenAlexW2071798972WikidataQ61915672 ScholiaQ61915672MaRDI QIDQ2453087

Theis Lange, Søren Glud Johansen

Publication date: 6 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.04.013

zbMATH Keywords

time seriesstable limitsexplosive processesbubble models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Autoregressive series with random parameters