THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I

D. F. Nicholls and B. G. Quinn

Journal of Time Series Analysis, 1980, vol. 1, issue 1, 37-46

Abstract: Abstract. This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.

Date: 1980
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