Large sample estimation in nonstationary autoregressive processes with multiple observations

S. Sethuraman and I. V. Basawa

Stochastic Processes and their Applications, 1994, vol. 54, issue 2, 331-354

Abstract: The asymptotic distributions of the least-squares estimators of the parameters in autoregressive processes with multiple observations are derived for the two nonstationary cases, viz., (a) the explosive case and (b) the unstable case. It is shown that nonstandard limit distributions are obtained.

Keywords: Autoregression; Nonstationary; processes; Explosive; process; Unstable; process; Intraclass; correlation; Least-squares; estimation; Asymptotic; distributions; Nonergodic; models (search for similar items in EconPapers)
Date: 1994
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