Estimating Long Memory in Panel Random‐Coefficient AR(1) Data (Q5121009): Difference between revisions

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-.1111/jtsa.12519
@@ Property / DOI: 10.1111/jtsa.12519 / rank @@
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+W3003470746
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+.09735
@@ Property / arXiv ID: 1710.09735 / rank @@
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@@ Property / cites work @@
+Two estimators of the long-run variance: beyond short memory
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+Panel Data Econometrics
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+The Oxford Handbook of Panel Data
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+From short to long memory: aggregation and estimation
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+Asymptotic normality of the mixture density estimator in a disaggregation scheme
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+The empirical distribution function as a tail estimator
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+Rescaled variance and related tests for long memory in volatility and levels
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+SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
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+``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter
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+A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
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+Long memory relationships and the aggregation of dynamic models
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+Consistency of the Hill Estimator for Time Series Observed with Measurement Errors
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+Orthogonal series density estimation in a disaggregation scheme
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+Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
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+Hill's estimator for the tail index of an ARMA model
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+A Nonparametric Test for I(0)
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+A strong invariance theorem for the tail empirical process
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+Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
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+Asymptotics of the distribution of the ratio of sums of random variables
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+Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
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+Comparison of the several parameterized estimators for the positive extreme value index
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+CONTEMPORANEOUS AGGREGATION OF TRIANGULAR ARRAY OF RANDOM-COEFFICIENT AR(1) PROCESSES
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+Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
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+Joint aggregation of random-coefficient AR(1) processes with common innovations
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+Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
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+Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations
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+Asymptotic behavior of hill's estimator for autoregressive data
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+Contemporaneous aggregation of linear dynamic models in large economies
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@@ Property / DOI @@
+.1111/JTSA.12519
@@ Property / DOI: 10.1111/JTSA.12519 / rank @@
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