Abstract:

We studied the parameter estimation  for AR(2) model under simple order restriction via quasilikelihood method. The strong consistency and asymptotic property of quasilikelihood estimator [WTHX]〖AKα^〗[WT] and the restriction quasi-likelihood  estimator  a* were discussed. Furthermore, we considered the problem of testing homogeneity of parameters against the simple order restriction, and also gave a simulation.

Key words: quasi-likelihood estimation, order restriction, hypothesis testing