THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

B. G. Quinn and D. F. Nicholls

Journal of Time Series Analysis, 1981, vol. 2, issue 3, 185-203

Abstract: Abstract. In Nicholls and Quinn (1980) a procedure was proposed for the determination of strongly consistent estimates of random coefficient autoregressive models. These estimates are used here as starting values in a Newton‐Raphson algorithm which is employed to obtain the maximum likelihood estimates of a class of random coefficient autoregressions. The maximum likelihood estimates are shown to be strongly consistent and to satisfy a central limit theorem. The problem of testing for the randomness of the coefficients is also briefly discussed. The results of a number of simulations are reported which illustrate the theoretical results obtained.

Date: 1981
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