### Abstract

This paper discusses the problem of estimation for two classes of nonlinear models, namely random coefficient autoregressive (RCA) and autoregressive conditional heteroskedasticity (ARCH) models. For the RCA model, first assuming that the nuisance parameters are known we construct an estimator for parameters of interest based on Godambe's asymptotically optimal estimating function. Then, using the conditional least squares (CLS) estimator given by Tjøstheim (1986, Stochastic Process. Appl., 21, 251-273) and classical moment estimators for the nuisance parameters, we propose an estimated version of this estimator. These results are extended to the case of vector parameter. Next, we turn to discuss the problem of estimating the ARCH model with unknown parameter vector. We construct an estimator for parameters of interest based on Godambe's optimal estimator allowing that a part of the estimator depends on unknown parameters. Then, substituting the CLS estimators for the unknown parameters, the estimated version is proposed. Comparisons between the CLS and estimated optimal estimator of the RCA model and between the CLS and estimated version of the ARCH model are given via simulation studies.

Original language | English |
---|---|

Pages (from-to) | 125-141 |

Number of pages | 17 |

Journal | Annals of the Institute of Statistical Mathematics |

Volume | 53 |

Issue number | 1 |

DOIs | |

Publication status | Published - 2001 |

Externally published | Yes |

### Fingerprint

### Keywords

- Asymptotic optimality
- Autoregressive conditional heteroskedasticity models
- Classical moment estimator
- Conditional least squares estimator
- Estimating function
- Nonlinear time series models
- Random coefficient autoregressive models

### ASJC Scopus subject areas

- Mathematics(all)
- Statistics and Probability

### Cite this

*Annals of the Institute of Statistical Mathematics*,

*53*(1), 125-141. https://doi.org/10.1023/A:1017924722711

**Estimating functions for nonlinear time series models.** / Chandra, S. Ajay; Taniguchi, Masanobu.

Research output: Contribution to journal › Article

*Annals of the Institute of Statistical Mathematics*, vol. 53, no. 1, pp. 125-141. https://doi.org/10.1023/A:1017924722711

}

TY - JOUR

T1 - Estimating functions for nonlinear time series models

AU - Chandra, S. Ajay

AU - Taniguchi, Masanobu

PY - 2001

Y1 - 2001

N2 - This paper discusses the problem of estimation for two classes of nonlinear models, namely random coefficient autoregressive (RCA) and autoregressive conditional heteroskedasticity (ARCH) models. For the RCA model, first assuming that the nuisance parameters are known we construct an estimator for parameters of interest based on Godambe's asymptotically optimal estimating function. Then, using the conditional least squares (CLS) estimator given by Tjøstheim (1986, Stochastic Process. Appl., 21, 251-273) and classical moment estimators for the nuisance parameters, we propose an estimated version of this estimator. These results are extended to the case of vector parameter. Next, we turn to discuss the problem of estimating the ARCH model with unknown parameter vector. We construct an estimator for parameters of interest based on Godambe's optimal estimator allowing that a part of the estimator depends on unknown parameters. Then, substituting the CLS estimators for the unknown parameters, the estimated version is proposed. Comparisons between the CLS and estimated optimal estimator of the RCA model and between the CLS and estimated version of the ARCH model are given via simulation studies.

AB - This paper discusses the problem of estimation for two classes of nonlinear models, namely random coefficient autoregressive (RCA) and autoregressive conditional heteroskedasticity (ARCH) models. For the RCA model, first assuming that the nuisance parameters are known we construct an estimator for parameters of interest based on Godambe's asymptotically optimal estimating function. Then, using the conditional least squares (CLS) estimator given by Tjøstheim (1986, Stochastic Process. Appl., 21, 251-273) and classical moment estimators for the nuisance parameters, we propose an estimated version of this estimator. These results are extended to the case of vector parameter. Next, we turn to discuss the problem of estimating the ARCH model with unknown parameter vector. We construct an estimator for parameters of interest based on Godambe's optimal estimator allowing that a part of the estimator depends on unknown parameters. Then, substituting the CLS estimators for the unknown parameters, the estimated version is proposed. Comparisons between the CLS and estimated optimal estimator of the RCA model and between the CLS and estimated version of the ARCH model are given via simulation studies.

KW - Asymptotic optimality

KW - Autoregressive conditional heteroskedasticity models

KW - Classical moment estimator

KW - Conditional least squares estimator

KW - Estimating function

KW - Nonlinear time series models

KW - Random coefficient autoregressive models

UR - http://www.scopus.com/inward/record.url?scp=0013312706&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0013312706&partnerID=8YFLogxK

U2 - 10.1023/A:1017924722711

DO - 10.1023/A:1017924722711

M3 - Article

VL - 53

SP - 125

EP - 141

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

SN - 0020-3157

IS - 1

ER -