Least Squares Estimation of Linear and Nonlinear ARMAX Models under Data Heterogeneity

Herman J. Bierens

Annals of Economics and Statistics, 1991, issue 20-21, 143-169

Abstract: In this paper we consider the asymptotic properties of least squares estimators of the parameters of linear and nonlinear ARMAX models under data heterogeneity, where we allow the X-variables to be stochastic time series themselves, possibly depending on lagged dependent variables. These results are obtained by a further elaboration of the results in Bierens [1984, 1987].

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:20-21:p:143-169

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