Name
Title | ||
|---|---|---|
Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence |
Abstract | ||
|---|---|---|
Phillips and Magdalinos (2007) [1] gave the asymptotic theory for autoregressive time series with a root of the form @r"n=1+c/k"n, where k"n is a deterministic sequence. In this paper, an extension to the more general case where the coefficients of an AR(1) model is a random variable and the error sequence is a sequence of martingale differences is discussed. A conditional least squares estimator of the autoregressive coefficient is derived and shown to be asymptotically normal. This extends the result of Phillips and Magdalinos (2007) [1] for stationary and near-stationary cases. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.cam.2010.11.004 | J. Computational Applied Mathematics |
Keywords | DocType | Volume |
limit theory,asymptotic theory,autoregressive coefficient,martingale difference error sequence,random variable,error sequence,autoregressive time series,squares estimator,random coefficient first-order autoregressive,deterministic sequence,martingale difference,general case,near-stationary case,least square,autoregressive process,first order,asymptotic normality,time series | Journal | 235 |
Issue | ISSN | Citations |
8 | 0377-0427 | 2 |
PageRank | References | Authors |
0.72 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zhiwen Zhao | 1 | 25 | 5.23 |
| yang | 2 | 15 | 7.73 |
| Yin Zhang | 3 | 275 | 11.30 |