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

Table 4

Mean and MSE of estimated parameters for Example 2; .

Parameters	MLKF Mean	MLKF MSE	QMLE Mean	QMLE MSE
	0.79036	0.00523	0.76137	0.02278
	-0.17777	0.00358	-0.17776	0.00935
	0.10248	0.00647	0.08250	0.00838
	0.06556	0.00512	0.05217	0.00912
	0.21036	0.00788	0.23481	0.01014
	0.97054	0.01463	0.94957	0.03327