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Minimum distance estimation for random coefficient autoregressive models

โœ Scribed by V. Swaminathan; U.V. Naik-Nimbalkar

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
445 KB
Volume
34
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

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.

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