Nonlinear least squares estimation of the periodic EXPAR(1) model. Issue 15 (30th June 2022) - Becila, S.
Abstract: In this paper, we study the strong consistency and asymptotic normality properties of nonlinear least squares (NLS) estimator of the periodic EXPAR ( 1 ) model. The general statistical literature on estimation of nonlinear models of Gallant and White is used. Simulation study and one real example are given to assess the performance of this NLS.