Abstract
SUMMARY Consistent and asymptotically normal estimates for all four parameters of the NEAR(2) and NLAR(2) time series models are obtained. The estimates are given in explicit form and are easy to compute, but with simulation experiments the standard errors are large, especially for small values of the parameters, so very substantial sample sizes may be needed. Hence, from this point of view, the NEAR(2) and NLAR(2) models are of limited practical value. The simulations indicate, however, that reasonably good estimates can be obtained for sample sizes in the range used by Lawrance and Lewis in their investigation of a series of wind data.
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