Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.
|Number of pages||12|
|Journal||Journal of Multivariate Analysis|
|Publication status||Published - 1981|
- multiple autoregression
- random coefficient
- strict stationarity