Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

DOI10.1111/j.1467-9892.2005.00432.xzbMath1097.62081MaRDI QIDQ5487364

Ishwar V. Basawa, Sun Young Hwang

Publication date: 19 September 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00432.x

zbMATH Keywords

consistency; asymptotic normality; inconsistency; weighted least squares; RCA(1)

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Offline and online weighted least squares estimation of nonstationary power ARCH processes, On the sample variance of explosive random coefficient autoregressive processes, Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process, Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process, Least squares estimation for critical random coefficient first-order autoregressive processes

Uses Software

• ESTIMA

Cites Work

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• Random coefficient autoregressive models: an introduction
• Parameter estimation for generalized random coefficient autoregressive processes
• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL