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The estimation of multivariate random coefficient autoregressive models

Author

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  • Nicholls, D. F.
  • Quinn, B. G.

Abstract

Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

Suggested Citation

  • Nicholls, D. F. & Quinn, B. G., 1981. "The estimation of multivariate random coefficient autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 11(4), pages 544-555, December.
    • Handle: RePEc:eee:jmvana:v:11:y:1981:i:4:p:544-555
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    Citations

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    Cited by:

    1. Asai, M. & McAleer, M.J., 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers EI2016-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. 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.
    3. 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.
    4. Bercu, Bernard & Blandin, Vassili, 2015. "A Rademacher–Menchov approach for random coefficient bifurcating autoregressive processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1218-1243.
    5. 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.
    6. István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.
    7. Proïa, Frédéric & Soltane, Marius, 2021. "Comments on the presence of serial correlation in the random coefficients of an autoregressive process," Statistics & Probability Letters, Elsevier, vol. 170(C).

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