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CLS asymptotic variance for a particular relevant bilinear time series model

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Abstract.

The main purpose of this paper is to gain inference about the parameter estimated via the CLS method for a particular bilinear model. We propose a new CLS estimator which is strongly consistent and the CLT and LIL hold with milder conditions on the moments. Furthermore, we derive a closed form expression for the asymptotic variance of this CLS estimator.

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Authors and Affiliations

  1. Universitá degli Studi di Salerno, 84084 , Fisciano, Italy

    Francesco Giordano & Cosimo Vitale

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  1. Francesco Giordano
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  2. Cosimo Vitale
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Correspondence to Francesco Giordano.

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Giordano, F., Vitale, C. CLS asymptotic variance for a particular relevant bilinear time series model. Statistical Methods & Applications 12, 169–185 (2003). https://doi.org/10.1007/s10260-003-0061-3

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  • DOI: https://doi.org/10.1007/s10260-003-0061-3

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