A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

Authors :: Zhi-Wen Zhao
Li Bi
Dehui Wang
Cui-Xin Peng
Source :: Communications in Statistics - Theory and Methods. 46:2002-2006
Publication Year :: 2016
Publisher :: Informa UK Limited, 2016.
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.

Subjects :: Statistics and Probability
Coefficient of determination
05 social sciences
Asymptotic distribution
SETAR
Generalized least squares
01 natural sciences
Least squares
010104 statistics & probability
Autoregressive model
Non-linear least squares
0502 economics and business
Statistics
Applied mathematics
0101 mathematics
STAR model
050205 econometrics
Mathematics

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