This work investigates the behavior of the sample variance of an explosive random coefficient autoregressive process y t = (a + u t )y t-1 + Ξ΅ t . It is shown that the simulated sample variance has a distribution when a 2 < 1 and a 2 +Ο 2 u = 1. Moreover, the variance of y t when a = -1 is found to
β¦ LIBER β¦
The local asymptotic normality of a class of generalized random coefficient autoregressive processes
β Scribed by S.Y. Hwang; I.V. Basawa
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 280 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0167-7152
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