Abstract. This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.
|Number of pages||10|
|Journal||Journal of Time Series Analysis|
|Publication status||Published - 1980|
- central limit theorem
- Monte Carlo experiment
- random coefficient autoregression
- strong consistency