First‐Order Autoregressive Processes with Heterogeneous Persistence

Joann Jasiak

Journal of Time Series Analysis, 2003, vol. 24, issue 3, 283-309

Abstract: Abstract.We propose a semi‐nonparametric method of identification and estimation for Gaussian autoregressive processes with stochastic autoregressive coefficients. The autoregressive coefficient is considered as a latent process with either a moving average or regime switching representation. We develop a consistent estimator of the distribution of the autoregressive coefficient based on nonlinear canonical decomposition of the observed process. The approach is illustrated by simulations.

Date: 2003
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https://doi.org/10.1111/1467-9892.00308

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:3:p:283-309

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