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Coefficient constancy test in a random coefficient autoregressive model

โœ Scribed by Sangyeol Lee


Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
83 KB
Volume
74
Category
Article
ISSN
0378-3758

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Minimum distance estimation for random c
โœ V. Swaminathan; U.V. Naik-Nimbalkar ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 445 KB

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.