The estimation of multivariate random coefficient autoregressive models

Nicholls, D. F.; Quinn, B. G.

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The estimation of multivariate random coefficient autoregressive models

Date

1981

Authors

Nicholls, D. F.

Quinn, B. G.

Abstract

Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.