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The Box-Jenkins approach to random coefficient autoregressive modelling

Published online by Cambridge University Press:  14 July 2016

D. F. Nicholls
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Abstract

Recent time series research has been directed towards the relaxation of the assumption that time series models have constant coefficients. One class of models to emerge as a result of this has been that of random coefficient autoregressive models. This paper demonstrates how the Box-Jenkins three-step approach of model specification, estimation and diagnostic checking may be applied to this class of models.

Keywords

IDENTIFICATIONESTIMATIONDIAGNOSTIC CHECKSSECOND-ORDER STATIONARITYSCORE TESTTWO-STEP ESTIMATION PROCEDURE

Information

Type
Part 4—Non-linear and Non-stationary Systems in Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986, pp. 231 - 240
Copyright
Copyright © 1986 Applied Probability Trust 

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