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Large sample properties of parameter least squares estimates for time-varying arma models

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Author Info

  • Christian Francq
  • Antony Gautier

Abstract

This 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 Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 5 (09)
Pages: 765-783

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Handle: RePEc:bla:jtsera:v:25:y:2004:i:5:p:765-783

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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Cited by:
  1. 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.

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