√n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL

DOI10.1111/J.1467-842X.1996.TB00671.XMaRDI QIDQ4354758zbMATH OpenFDO

Authors Anton Schick

Publication date 5 April 1998

Published in Australian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

quasi-maximum likelihood estimatorergodicstationary

Mathematics Subject Classification ID

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

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Cited in

(25)

• Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
• Bootstrap for random coefficient autoregressive models
• A test of correlation in the random coefficients of an autoregressive process
• Efficient detection of random coefficients in autoregressive models
• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• Statistical inference in a random coefficient panel model
• Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
• Bivariate first-order random coefficient integer-valued autoregressive processes
• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• Rate of convergence for a class of RCA estimators
• Quadratic random coefficient autoregression with linear-in-parameters volatility
• On a class of estimators in a multivariate RCA(1) model
• Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
• Testing for randomness in a random coefficient autoregression model
• Comments on the presence of serial correlation in the random coefficients of an autoregressive process
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
• First-order random coefficient integer-valued autoregressive processes
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
• Random autoregressive models: a structured overview
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• Estimation in nonstationary random coefficient autoregressive models
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
• Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
• Normality test in random coefficient autoregressive models

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