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

Table 3

Mean and MSE of estimated parameters for Example 2; .

Parameters	MLKF Mean	MLKF MSE	QMLE Mean	QMLE MSE
	0.82356	0.01564	0.75590	0.03258
	-0.15886	0.00982	-0.18164	0.02042
	0.08326	0.01013	0.13584	0.04782
	0.03735	0.01126	0.02104	0.03152
	0.21214	0.01342	0.24065	0.03356
	0.93012	0.05263	0.89702	0.08237