Abstract
In this article, we propose a new estimate algorithm for the parameters of a first-order Random Coefficient Autoregressive (RCA) Model. This algorithm turns out to be very reliable in estimating the true parameter values of a given model. It combines quasi-maximum likelihood method, the Kalman filter algorithm, and the Powell's method. Simulation results demonstrate that the algorithm is viable and promising.
Acknowledgments
The authors express their gratitude to the anonymous referees. Their reports and their criticisms considerably improved the presentation from an earlier version of the article.