Estimation in nonstationary random coefficient autoregressive models
classification
📊 stat.ME
math.STstat.TH
keywords
autoregressivecoefficientmodelrandomestimationlikelihoodnonstationaryparameters
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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.
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