BIERENS, Herman J. - In: Annales d'Economie et de Statistique (1991) 20-21, pp. 143-169
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...