A test of correlation in the random coefficients of an autoregressive process
Résumé
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, then we give the second-order stationarity conditions and the autocorrelation function of the process. Then we study some asymptotic properties of the empirical mean and the usual least squares estimators of the process, such as convergence, asymptotic normality and rates of convergence, supplied with the appropriate assumptions on the driving perturbations. Our objective is to get an overview of the influence of correlated coefficients in the estimation step, through a simple model. In particular, the lack of consistency is shown for the estimation of the autoregressive parameter. Finally, a consistent estimation is given together with a testing procedure for the existence of correlation in the random coefficients. While convergence properties rely on the ergodicity, we use a martingale approach to reach most of the results.