| Abstract: | Abstract. The problem of estimation of the parameter b in the simple diagonal bilinear model { X t }, Xt = et + be t -1 Xt -1, is considered, where { et } is Gaussian white noise with zero mean and possibly unknown variance 2. The asymptotic normality of the moment estimator of b is established for the two cases when 2 is known and 2 is unknown. It is noted that the limit distribution of the least-squares cannot easily be derived analytically. A bootstrap comparison of the sampling distributions of the least-squares and moment estimates shows that both are asymptotically normal with the least-squares estimate being the more efficient. |
