On the quasi-likelihood estimation for random coefficient autoregressions
Work
Year: 2011
Type: article
Abstract: We examine the Gaussian quasi-maximum likelihood estimator (QMLE) for random coefficient autoregressions. Consistency and asymptotic normality are established for general random coefficients and gener... more
Source: Statistics
Authors Lionel Truquet, Jianfeng Yao
Cites: 31
Cited by: 13
Related to: 10
FWCI: 0.88
Citation percentile (by year/subfield): 79.6
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green