A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

Zhi-Wen Zhao, De-Hui Wang, Cui-Xin Peng and Li Bi

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 4, 2002-2006

Abstract: This note is concerned with the limiting properties of the least squares estimation for the random coefficient autoregressive model. In contrast with existing results, ours is applicable to a wide range of models under more general assumptions.

Date: 2017
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DOI: 10.1080/03610926.2015.1032422

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