AR(1) model with skew-normal innovations

In this paper, we consider an autoregressive model of order one with skew-normal innovations. We propose several methods for estimating the parameters of the model and derive the limiting distributions of the estimators. Then, we study some statistical properties and the regression behavior of the p...

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Bibliographic Details
Published in:Metrika 2016-11, Vol.79 (8), p.1011-1029
Main Authors: Sharafi, M., Nematollahi, A. R.
Format: Article
Language:English
Subjects:
Autoregressive models
Autoregressive processes
Computer simulation
Economic models
Economic Theory/Quantitative Economics/Mathematical Methods
Estimators
Mathematics and Statistics
Monte Carlo simulation
Normal distribution
Parameter estimation
Probability Theory and Stochastic Processes
Regression analysis
Statistics
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Summary:In this paper, we consider an autoregressive model of order one with skew-normal innovations. We propose several methods for estimating the parameters of the model and derive the limiting distributions of the estimators. Then, we study some statistical properties and the regression behavior of the proposed model. Finally, we provide a Monte Carlo simulation study for comparing performance of estimators and consider a real time series to illustrate the applicability of the proposed model.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-016-0587-7