In this paper, we extend the minimum distance method of Beran (1993) to random coefficient autoregressive (RCA) models. After stating the necessary assumptions the asymptotic properties of the minimum distance estimator are derived.
An improved estimation method for univariate autoregressive models
β Scribed by Tarmo M Pukkila
- Publisher
- Elsevier Science
- Year
- 1988
- Tongue
- English
- Weight
- 592 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0047-259X
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