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A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model |
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| Authors: | Zhi-Wen Zhao De-Hui Wang Cui-Xin Peng Li Bi |
| Institution: | 1. College of Mathematics, Jilin Normal University, Siping, P.?R.?Chinazhaozhiwen@126.com;3. College of Mathematics, Jilin University, Changchun, P.?R.?China;4. Public Foreign Languages Department, Jilin Normal University, Siping, P.?R.?China;5. College of Mathematics, Jilin Normal University, Siping, P.?R.?China |
| Abstract: | This note is concerned with the limiting properties of the least squares estimation for the random coefficient autoregressive model. In contrast with existing results, ours is applicable to a wide range of models under more general assumptions. |
| Keywords: | Asymptotic distribution explosive random coefficient autoregressive model least squares estimation |