The Moment Estimator for the Diabonal BL Time Series Model and Its Asymptotic Distribution

Abstract:

      The problem of estimating the parameters b and σ_t^２ in the simple diagonal BL model x_ｔ= e_ｔ + bx_ｔ-1e_ｔ-1 is considered,where {e_ｔ} is white noise with E(e_ｔ)=0,E(e_t⁸) < +∞;The asymptotic normality of the moment estimator of b and σ_t^２ is proved.