Least squares estimation in a simple random coefficient autoregressive model
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DOI: 10.1016/j.jeconom.2013.04.013
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References listed on IDEAS
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Cited by:
- Hwang, Eunju, 2021. "Weighted least squares estimation in a binary random coefficient panel model with infinite variance," Statistics & Probability Letters, Elsevier, vol. 168(C).
- Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
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More about this item
Keywords
Time series; Explosive processes; Bubble models; Stable limits;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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