The estimation of multivariate random coefficient autoregressive models

D. F. Nicholls and B. G. Quinn

Journal of Multivariate Analysis, 1981, vol. 11, issue 4, 544-555

Abstract: Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

Keywords: random; coefficient; multiple; autoregression; strict; stationarity; ergodic; martingale (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (9)

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