Large sample properties of the least squares and weighted least squares estimates of the autoregressive parameter of an explosive random coefficient AR(1) process are discussed. It is shown that, contrary to the standard AR(1) case, the least-squares estimator is inconsistent whereas the weighted least-squares estimator is consistent and asymptotically normal even when the error process is not necessarily Gaussian.

TR Number: 
2003-17
S.Y. Hwang and I.V. Basawa
Key Words: 
Conditional asymptotics, explosive random coefficient AR(1) processes, least-squares estimation, martingale convergence theorem

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