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- W2114749242 abstract "Abstract. We investigate the estimation of parameters in the random coefficient autoregressive (RCA) model Xk = (ϕ + bk)Xk−1 + ek, where (ϕ, ω2, σ2) is the parameter of the process, , . We consider a nonstationary RCA process satisfying E log |ϕ + b0| ≥ 0 and show that σ2 cannot be estimated by the quasi-maximum likelihood method. The asymptotic normality of the quasi-maximum likelihood estimator for (ϕ, ω2) is proven so that the unit root problem does not exist in the RCA model." @default.
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- W2114749242 date "2009-07-01" @default.
- W2114749242 modified "2023-10-02" @default.
- W2114749242 title "Estimation in nonstationary random coefficient autoregressive models" @default.
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- W2114749242 doi "https://doi.org/10.1111/j.1467-9892.2009.00615.x" @default.
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