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

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  • 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.

Suggested Citation

  • Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time-varying arma models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 765-783, September.
  • Handle: RePEc:bla:jtsera:v:25:y:2004:i:5:p:765-783
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    Cited by:

    1. Nazim Regnard & Jean-Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
    2. repec:dau:papers:123456789/2285 is not listed on IDEAS
    3. Rajae Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
    4. 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.
    5. K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
    6. repec:dau:papers:123456789/2603 is not listed on IDEAS
    7. repec:dau:papers:123456789/5529 is not listed on IDEAS
    8. Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.

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