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The Estimation Of Random Coefficient Autoregressive Models. I

Author

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  • D. F. Nicholls
  • B. G. Quinn

Abstract

. This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.

Suggested Citation

  • D. F. Nicholls & B. G. Quinn, 1980. "The Estimation Of Random Coefficient Autoregressive Models. I," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 37-46, January.
    • Handle: RePEc:bla:jtsera:v:1:y:1980:i:1:p:37-46
    DOI: 10.1111/j.1467-9892.1980.tb00299.x
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    Cited by:

    1. Offer Lieberman & Peter C. B. Phillips, 2014. "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
    2. Bernard Bercu & Vassili Blandin, 2015. "Limit theorems for bifurcating integer-valued autoregressive processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(1), pages 33-67, April.
    3. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    4. Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," JRFM, MDPI, vol. 12(2), pages 1-7, April.
    5. Ngai Sze Han & Shiqing Ling, 2017. "Goodness-Of-Fit Test For Nonlinear Time Series Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-21, June.
    6. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
    7. A. Malyarenko & V. Vasiliev, 2012. "On parameter estimation of partly observed bilinear discrete-time stochastic systems," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(3), pages 403-424, April.

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