A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

DOI10.1080/03610926.2015.1032422zbMath1381.62255OpenAlexW2318558115MaRDI QIDQ2979975

De-Hui Wang, Cui-Xin Peng, Li Bi, Zhi-Wen Zhao

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1032422

zbMATH Keywords

asymptotic distributionleast squares estimationexplosive random coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Perturbation Analysis for Controllability of Logical Control Networks

Cites Work

• Parameter estimation for generalized random coefficient autoregressive processes
• Estimation in nonstationary random coefficient autoregressive models
• A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Martingale Central Limit Theorems

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