QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes
2010 ◽
Vol 2010
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pp. 1-30
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Keyword(s):
This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood (QML) estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated. These results extend those of Maller (2003), White (1959), Brockwell and Davis (1987), and so on. Lastly, the validity and feasibility of the method are illuminated by a simulation example and a real example.
2019 ◽
Vol 26
(6)
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pp. 876-892
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2013 ◽
Vol 29
(3)
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pp. 631-644
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2011 ◽
Vol 32
(5)
◽
pp. 729-740
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2013 ◽
Vol 6
(3)
◽
pp. 315-324
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2015 ◽
Vol 273
◽
pp. 251-263
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1988 ◽
Vol 50
(2)
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pp. 293-296