English, Article edition: Estimation in nonstationary random coefficient autoregressive models István Berkes; Lajos Horváth; Shiqing Ling

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Bookmark: http://trove.nla.gov.au/version/108868
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  • article
Language
  • English

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Title
  • Estimation in nonstationary random coefficient autoregressive models
Author
  • István Berkes
  • Lajos Horváth
  • Shiqing Ling
Physical Description
  • article
Notes
  • We investigate the estimation of parameters in the random coefficient autoregressive (RCA) model X_k =​ (&​phiv; + b_k)X_k - 1 + e_k, where (&​phiv;, omega-super-2, σ-super-2) is the parameter of the process, , . We consider a nonstationary RCA process satisfying E log |&​phiv; + b_0| >=​ 0 and show that σ-super-2 cannot be estimated by the quasi-maximum likelihood method. The asymptotic normality of the quasi-maximum likelihood estimator for (&​phiv;, omega-super-2) is proven so that the unit root problem does not exist in the RCA model. Copyright 2009 Blackwell Publishing Ltd
  • RePEc:bla:jtsera:v:30:y:2009:i:4:p:395-416
Language
  • English
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