THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
- 1 May 1981
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 2 (3) , 185-203
- https://doi.org/10.1111/j.1467-9892.1981.tb00321.x
Abstract
In Nicholls and Quinn (1980) a procedure was proposed for the determination of strongly consistent estimates of random coefficient autoregressive models. These estimates are used here as starting values in a Newton‐Raphson algorithm which is employed to obtain the maximum likelihood estimates of a class of random coefficient autoregressions. The maximum likelihood estimates are shown to be strongly consistent and to satisfy a central limit theorem. The problem of testing for the randomness of the coefficients is also briefly discussed. The results of a number of simulations are reported which illustrate the theoretical results obtained.Keywords
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