Least squares estimation for critical random coefficient first-order autoregressive processes

S.Y. Hwang, I.V. Basawa and Tae Yoon Kim

Statistics & Probability Letters, 2006, vol. 76, issue 3, 310-317

Abstract: Critical random coefficient AR(1) processes are investigated where the random coefficient is binary, taking values -1 and 1. Asymptotic behavior of least squares estimator for the mean of the random coefficient is discussed. Ordinary least squares estimator is shown to be consistent. Weighted least squares estimator turns out to be asymptotically normally distributed. This enables us to present a unified limit result for the weighted least squares estimator valid for the stationary, explosive and critical cases. Also, a test of criticality is discussed.

Keywords: Critical; process; Random; coefficient; AR(1); Test; of; criticality; Weighted; and; ordinary; least; squares (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00302-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:76:y:2006:i:3:p:310-317

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().