The estimation of multivariate random coefficient autoregressive models

DOI10.1016/0047-259X(81)90095-6zbMath0494.62080OpenAlexW2090349221MaRDI QIDQ1169230

D. F. Nicholls, Barry G. Quinn

Publication date: 1981

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(81)90095-6

zbMATH Keywords

asymptotic normalitystrong consistencyergodicstrict stationarityestimation of multivariate random coefficient autoregressive modelstwo stage regression procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) General nonlinear regression (62J02) Estimation and detection in stochastic control theory (93E10)

Related Items (5)

Multivariate hyper-rotated GARCH-BEKK ⋮ Comments on the presence of serial correlation in the random coefficients of an autoregressive process ⋮ Estimating the generalized autoregression model parameters for unknown noise distribution ⋮ A test of correlation in the random coefficients of an autoregressive process ⋮ Monitoring parameter changes in RCA(\(p\)) models

Cites Work

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• Multiple autoregressive models with random coefficients
• Stationarity and invertibility of simple bilinear models
• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Autoregressive series with random parameters
• The Lindeberg-Levy Theorem for Martingales
• Stochastic Stability of Short-Run Market Equilibrium Under Variations in Supply
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

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