A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

T. Grahn

Journal of Time Series Analysis, 1995, vol. 16, issue 5, 509-529

Abstract: Abstract. In this paper a conditional least squares (CLS) procedure for estimating bilinear time series models is introduced. This method is applied to a special superdiagonal bilinear model which includes the classical linear autoregressive moving‐average model as a particular case and it is proven that the limiting distribution of the CLS estimates is Gaussian and that the law of the iterated logarithm holds.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:5:p:509-529

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