Minimum distance estimation for random coefficient autoregressive models

V. Swaminathan and U. V. Naik-Nimbalkar

Statistics & Probability Letters, 1997, vol. 34, issue 4, 313-322

Abstract: In this paper, we extend the minimum distance method of Beran (1993) to random coefficient autoregressive (RCA) models. After stating the necessary assumptions the asymptotic properties of the minimum distance estimator are derived.

Keywords: Random; coefficient; autoregressive; models; Minimum; distance; estimator; Absolute; regularity; Geometric; ergodicity (search for similar items in EconPapers)
Date: 1997
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