Large sample properties of parameter least squares estimates for time‐varying arma models

Christian Francq and Antony Gautier ()

Journal of Time Series Analysis, 2004, vol. 25, issue 5, 765-783

Abstract: Abstract. This paper considers estimation of ARMA models with time‐varying coefficients. The ARMA parameters belong to d different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi‐generalized least squares estimators are shown.

Date: 2004
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https://doi.org/10.1111/j.1467-9892.2004.02003.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:5:p:765-783

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