Estimation in nonstationary random coefficient autoregressive models

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We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter cannot be estimated by the quasi-maximum likelihood method. The asymptotic normality of the quasi-maximum likelihood estimator for the remaining model parameters is proven so the unit root problem does not exist in the random coefficient autoregressive model.
21 pages

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Methodology, Statistics Theory

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http://salesiana.dossiersoluciones.com/handle/123456789/221874

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0903.0022
 http://arxiv.org/abs/0903.0022

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arXiv