Large sample properties of parameter least squares estimates for time-varying arma models
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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Volume (Year): 25 (2004)
Issue (Month): 5 (09)
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