ESTIMATION FOR THE FIRST‐ORDER DIAGONAL BILINEAR TIME SERIES MODEL

Won Kyung Kim, L. Billard and I. V. Basawa

Journal of Time Series Analysis, 1990, vol. 11, issue 3, 215-229

Abstract: Abstract. The problem of estimation of the parameter b in the simple diagonal bilinear model {Xt}, Xt=et+bet‐1Xt‐1, is considered, where {et} is Gaussian white noise with zero mean and possibly unknown variance s̀2. The asymptotic normality of the moment estimator of b is established for the two cases when s̀2 is known and s̀2 is unknown. It is noted that the limit distribution of the least‐squares cannot easily be derived analytically. A bootstrap comparison of the sampling distributions of the least‐squares and moment estimates shows that both are asymptotically normal with the least‐squares estimate being the more efficient.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:3:p:215-229

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