TY  - GEN
AV  - public
TI  - A Conditional Least Squares Approach to Bilinear Time Series Estimation
N2  - In this paper we develop a Conditional Least Squares (CLS) procedurefor estimating bilinear time series models. We apply this method to twogeneral types of bilinear models. A model of type I is a special superdiagonalbilinear model which includes the linear ARMA model as a submodel. A model oftype II is a standardized version of the popular bilinear BL(p,0,p,1) model(see e.g. Liu and Chen (1990), Sesay and Subba Rao (1991)). For both models weshow that the limiting distribution of the resulting CLS estimates is Gaussianand the law of the iterated logarithm holds.
A1  - Grahn, Thorsten
KW  - Estimation; bilinear time series; central limit theorem; law of the iterated logarithm; conditional moments
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/21354/
EP  - 47
CY  - Heidelberg
Y1  - 1993/04//
ID  - heidok21354
ER  -