A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

ABSTRACT

This note is concerned with the limiting properties of the least squares estimation for the random coefficient autoregressive model. In contrast with existing results, ours is applicable to a wide range of models under more general assumptions.

KEYWORDS:

• Asymptotic distribution
• explosive random coefficient autoregressive model
• least squares estimation

MATHEMATICS SUBJECT CLASSIFICATION:

• Primary 62M10
• Secondary 91B62

Funding

This work is supported by National Natural Science Foundation of China (Nos. 11571138, 11671054, 11301137, 11271155, 11371168, J1310022, 11501241). The National Social Science Fund of China (16BTJ020), Science and Technology Research Program of Education Department in Jilin Province for the 12th Five-Year Plan (440020031139), “Thirteenth Five-Year Plan” Science and Technology Research Project of the Education of Jilin Province (Grant No. 2016103) and Jilin Province Natural Science Foundation (20130101066JC, 20130522102JH, 20150520053JH).