Comments on the presence of serial correlation in the random coefficients of an autoregressive process

Frédéric Proïa and Marius Soltane

Statistics & Probability Letters, 2021, vol. 170, issue C

Abstract: We consider an RCAR(p) process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to illustrate the results.

Keywords: RCAR process; Time series; Random coefficients; OLS estimation (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.108988

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