Estimation of Parameters in the NLAR(p) Model

Fukang Zhu and Dehui Wang

Journal of Time Series Analysis, 2008, vol. 29, issue 4, 619-628

Abstract: Abstract. In this article, we study a new Laplace autoregressive model of order p– NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi‐likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation studies.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:4:p:619-628

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