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Comments on the presence of serial correlation in the random coefficients of an autoregressive process

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  • Proïa, Frédéric
  • Soltane, Marius

Abstract

We consider an RCAR(p) process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to illustrate the results.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220302911
    DOI: 10.1016/j.spl.2020.108988
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    References listed on IDEAS

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    1. Nicholls, D. F. & Quinn, B. G., 1981. "Multiple autoregressive models with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 11(2), pages 185-198, June.
    2. Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
    3. 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.
    4. Alexander Aue & Lajos Horváth & Josef Steinebach, 2006. "Estimation in Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 61-76, January.
    5. 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.
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