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First‐Order Autoregressive Processes with Heterogeneous Persistence

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  • JOANN JASIAK

Abstract

.We propose a semi‐nonparametric method of identification and estimation for Gaussian autoregressive processes with stochastic autoregressive coefficients. The autoregressive coefficient is considered as a latent process with either a moving average or regime switching representation. We develop a consistent estimator of the distribution of the autoregressive coefficient based on nonlinear canonical decomposition of the observed process. The approach is illustrated by simulations.

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  • Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:3:p:283-309
    DOI: 10.1111/1467-9892.00308
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