Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter

Table 1

Mean and MSE of estimated parameters for Example 1; .

Parameters	MLKF Mean	MLKF MSE	QMLE Mean	QMLE MSE
	-0.00032	0.01491	-0.00051	0.03021
	0.32874	0.01265	0.29532	0.03127
	0.20847	0.01506	0.17879	0.03414
	0.00416	0.00635	0.00631	0.00827
	0.23316	0.01197	0.18413	0.03698
	1.05658	0.05597	1.10734	0.07859