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Two-step conditional least squares estimation in ADCINAR(1) process, revisited

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  • Zeng, Xiaoqiang
  • Kakizawa, Yoshihide

Abstract

Asymptotic normality of two-step conditional least squares estimator is revisited for the stationary ADCINAR(1) process. It turns out that plugging a consistent estimator for the parameter α affects the resulting asymptotic variance, whereas plugging the sample mean and variance has no effect. The phenomenon cannot be grasped from two examples discussed in Karlsen and Tjøstheim (1988).

Suggested Citation

  • Zeng, Xiaoqiang & Kakizawa, Yoshihide, 2024. "Two-step conditional least squares estimation in ADCINAR(1) process, revisited," Statistics & Probability Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002274
    DOI: 10.1016/j.spl.2023.110003
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    References listed on IDEAS

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