A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model. Issue 4 (16th February 2017)

• Record Type: Journal Article
• Authors: Zhao, Zhi-Wen; Wang, De-Hui; Peng, Cui-Xin; Bi, Li
• Is Part Of: Communications in statistics. Volume 46:Issue 4(2017)
• Page Start: 2002
• Page End: 2006
• Publication Date: 2017-02-16
• Subjects: Asymptotic distribution -- explosive random coefficient autoregressive model -- least squares estimation; Primary 62M10 -- Secondary 91B62; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2015.1032422
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: This note is concerned with the limiting properties of the least squares estimation for the random coefficient autoregressive model. In contrast with existing results, ours is applicable to a wide range of models under more general assumptions.