CLS asymptotic variance for a particular relevant bilinear time series model

Francesco Giordano () and Cosimo Vitale ()
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Francesco Giordano: Universitá degli Studi di Salerno
Cosimo Vitale: Universitá degli Studi di Salerno

Statistical Methods & Applications, 2003, vol. 12, issue 2, No 4, 169-185

Abstract: Abstract. The main purpose of this paper is to gain inference about the parameter estimated via the CLS method for a particular bilinear model. We propose a new CLS estimator which is strongly consistent and the CLT and LIL hold with milder conditions on the moments. Furthermore, we derive a closed form expression for the asymptotic variance of this CLS estimator.

Keywords: Bilinear model; CLS estimators; Asymptotic estimator distribution (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10260-003-0061-3

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