The estimation of multivariate random coefficient autoregressive models |
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| Authors: | D. F. Nicholls B. G. Quinn |
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| Affiliation: | Australian National University, Canberra, Australia |
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| 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. |
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| Keywords: | random coefficient multiple autoregression strict stationarity ergodic martingale |
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