Abstract
In this paper, estimation of coefficients of simultaneous linear partially explosive model of higher orders with moving average errors is considered. It has been shown that the above model can be decomposed into a purely explosive model and an autoregressive model. A two stage estimation, procedure is carried out towards proposing estimators for the partially explosive model. The asymptotic properties of these estimators are also studied.
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Gopal, G., Suresh Chandra, K. On the estimation of coefficients of a simultaneous linear explosive model of higher orders with moving average errors generating a pair of time series. Statistical Papers 32, 195–222 (1991). https://doi.org/10.1007/BF02925493
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DOI: https://doi.org/10.1007/BF02925493