Asymptotics for the conditional self‐weighted MM estimator of GRCA(pp) models and its statistical inference

Summary Under the ‐order generalised random coefficient autoregressive (GRCA()) model with random coefficients we propose a conditional self‐weighted estimator of . We investigate the asymptotic normality of this estimator with possibly heavy‐tailed random variables. Furthermore, a Wald test statistic is constructed for the linear restriction on the parameters. In addition, the simulation experiments are carried out to assess the finite sample performance of theoretical results. Finally, a real data analysis about the increase (%) in the number of construction projects this year over the same period of last year is provided.