Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
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Cites work
- A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
- Coefficient constancy test in generalized random coefficient autoregressive model
- Estimating functions for nonlinear time series models
- Generalized duration models and optimal estimation using estimating functions
- Inference for random coefficient volatility models
- Least squares estimation for critical random coefficient first-order autoregressive processes
- Limit laws of a sequence determined by a random difference equation governing a one-compartment system
- Random coefficient autoregressive models: an introduction
- Statistical inference for generalized random coefficient autoregressive model
- The foundations of finite sample estimation in stochastic processes
- The Lindeberg-Levy Theorem for Martingales
- The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
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