Least Squares Estimation of Linear and Nonlinear ARMAX Models under Data Heterogeneity

In this paper we consider the asymptotic properties of least squares estimators of the parameters of linear and nonlinear ARMAX models under data heterogeneity, where we allow the X-variables to be stochastic time series themselves, possibly depending on lagged dependent variables. These results are obtained by a further elaboration of the results in Bierens [1984, 1987].

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Year of publication:	1991
Authors:	BIERENS, Herman J.
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1991, 20-21, p. 143-169
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066109