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The Estimation Of Random Coefficient Autogressive Models. Ii

Author

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  • B. G. Quinn
  • D. F. Nicholls

Abstract

. In Nicholls and Quinn (1980) a procedure was proposed for the determination of strongly consistent estimates of random coefficient autoregressive models. These estimates are used here as starting values in a Newton‐Raphson algorithm which is employed to obtain the maximum likelihood estimates of a class of random coefficient autoregressions. The maximum likelihood estimates are shown to be strongly consistent and to satisfy a central limit theorem. The problem of testing for the randomness of the coefficients is also briefly discussed. The results of a number of simulations are reported which illustrate the theoretical results obtained.

Suggested Citation

  • B. G. Quinn & D. F. Nicholls, 1981. "The Estimation Of Random Coefficient Autogressive Models. Ii," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(3), pages 185-203, May.
    • Handle: RePEc:bla:jtsera:v:2:y:1981:i:3:p:185-203
    DOI: 10.1111/j.1467-9892.1981.tb00321.x
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