Large sample properties of parameter least squares estimates for time-varying arma models
AbstractThis paper considers estimation of ARMA models with time-varying coefficients. The ARMA parameters belong to d different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi-generalized least squares estimators are shown. Copyright 2004 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 25 (2004)
Issue (Month): 5 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
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- Regnard, Nazim & Zakoian, Jean-Michel, 2010.
"A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,"
22642, University Library of Munich, Germany.
- Regnard, Nazim & Zakoïan, Jean-Michel, 2011. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
- Zakoïan, Jean-Michel & Regnard, Nazim, 2011. "A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices," Economics Papers from University Paris Dauphine 123456789/2603, Paris Dauphine University.
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