Asymptotic Properties of Conditional Least-squares Estimators for Array Time Series

Guy Melard and Rajae Azrak

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: The paper provides a kind of Klimko-Nelson theoremsalternative in the case of conditional estimators for array timeseries, when the assumptions of almost sure convergence cannot be established.We do not assume stationarity nor even local stationarity.In addition, we provide sufficient conditions for two of the assumptionsand two theorems for the evaluation of the information matrixin array time series.

Keywords: properties; least-square; array; time; series (search for similar items in EconPapers)
Pages: 21 p.
Date: 2017-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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