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CLS asymptotic variance for a particular relevant bilinear time series model

Author

Listed:
  • Francesco Giordano

    (Universitá degli Studi di Salerno)

  • Cosimo Vitale

    (Universitá degli Studi di Salerno)

Abstract

. The main purpose of this paper is to gain inference about the parameter estimated via the CLS method for a particular bilinear model. We propose a new CLS estimator which is strongly consistent and the CLT and LIL hold with milder conditions on the moments. Furthermore, we derive a closed form expression for the asymptotic variance of this CLS estimator.

Suggested Citation

  • Francesco Giordano & Cosimo Vitale, 2003. "CLS asymptotic variance for a particular relevant bilinear time series model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(2), pages 169-185, December.
    • Handle: RePEc:spr:stmapp:v:12:y:2003:i:2:d:10.1007_s10260-003-0061-3
    DOI: 10.1007/s10260-003-0061-3
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    Cited by:

    1. Abdelouahab Bibi & Abdelhakim Aknouche, 2010. "Yule–Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 1-30, March.
    2. Shiqing Ling & Liang Peng & Fukang Zhu, 2015. "Inference For A Special Bilinear Time-Series Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 61-66, January.

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