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Least squares estimation for critical random coefficient first-order autoregressive processes
- Authors
- Hwang, SY; Basawa, IV; Kim, TY
- Issue Date
- Feb-2006
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- critical process; random coefficient AR(1); test of criticality; weighted and ordinary least squares
- Citation
- STATISTICS & PROBABILITY LETTERS, v.76, no.3, pp 310 - 317
- Pages
- 8
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 76
- Number
- 3
- Start Page
- 310
- End Page
- 317
- ISSN
- 0167-7152
1879-2103
- Abstract
- Critical random coefficient AR(l) processes are investigated where the random coefficient is binary, taking values -1 and 1. Asymptotic behavior of least squares estimator for the mean of the random coefficient is discussed. Ordinary least squares estimator is shown to be consistent. Weighted least squares estimator turns out to be asymptotically normally distributed. This enables us to present a unified limit result for the weighted least squares estimator valid for the stationary, explosive and critical cases. Also, a test of criticality is discussed. (c) 2005 Elsevier B.V. All rights reserved.
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