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On asymptotic normality of sequential LS-estimate for unstable autoregressive process AR(2)

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  • Galtchouk, Leonid
  • Konev, Victor

Abstract

For estimating parameters in an unstable AR(2) model, the paper proposes a sequential least squares estimate with a special stopping time defined by the trace of the observed Fisher information matrix. It is shown that the sequential LSE is asymptotically normally distributed in the stability region and on its boundary in contrast to the usual LSE, having six different types of asymptotic distributions on the boundary depending on the values of the unknown parameters. The asymptotic behavior of the stopping time is studied.

Suggested Citation

  • Galtchouk, Leonid & Konev, Victor, 2010. "On asymptotic normality of sequential LS-estimate for unstable autoregressive process AR(2)," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2616-2636, November.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2616-2636
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    References listed on IDEAS

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    1. Juha Ahtola & George C. Tiao, 1987. "Distributions Of Least Squares Estimators Of Autoregressive Parameters For A Process With Complex Roots On The Unit Circle," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 1-14, January.
    2. Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
    3. Greenwood, P. E. & Wefelmeyer, W., 1993. "Asymptotic minimax results for stochastic process families with critical points," Stochastic Processes and their Applications, Elsevier, vol. 44(1), pages 107-116, January.
    4. Jeganathan, P., 1991. "On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 7(3), pages 269-306, September.
    5. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(5), pages 818-887, October.
    6. Galtchouk, L. & Konev, V., 2004. "On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(p)," Journal of Multivariate Analysis, Elsevier, vol. 91(2), pages 119-142, November.
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    Cited by:

    1. Keiji Nagai & Yoshihiko Nishiyama & Kohtaro Hitomi, 2018. "Sequential test for unit root in AR(1) model," KIER Working Papers 1003, Kyoto University, Institute of Economic Research.

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