Asymptotic Properties of Conditional Least-squares Estimators for Array Time Series
Guy Mélard, Rajae Azrak · RePEc: Research Papers in Economics · 2017
The paper provides a kind of Klimko-Nelson theoremsalternative in the case of conditional estimators for array timeseries, when the assumptions of almost sure convergence cannot be established.We do not assume stationarity nor even local stationarity.In addition, we provide sufficient conditions for two of the assumptionsand two theorems for the evaluation of the information matrixin array time series.