Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq and Antony Gautier ()

Statistics & Probability Letters, 2004, vol. 70, issue 4, 243-251

Abstract: In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.

Keywords: Time-varying; ARMA; models; Non-stationary; processes; Quasi-generalized; least-squares; estimator; Asymptotic; covariance; matrix; Markovian; changes; in; regime (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (14)

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