QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes
QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes
This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi‐maximum likelihood (QML) estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated. These results extend those of Maller …