Abstract
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.
Original language | English |
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Pages (from-to) | 544-555 |
Number of pages | 12 |
Journal | Journal of Multivariate Analysis |
Volume | 11 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1981 |
Externally published | Yes |
Keywords
- ergodic
- martingale
- multiple autoregression
- random coefficient
- strict stationarity