Modelling panels of intercorrelated autoregressive time series

DOI10.1093/biomet/86.3.573zbMath0942.62101OpenAlexW1998674812MaRDI QIDQ4935359

Vidar Hjellvik, Dag Tjøstheim

Publication date: 21 August 2000

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/10d9eb532f9f736034c2f766fa84a9f5b3cb0ff0

zbMATH Keywords

time seriespanel dataautoregressiveBurg-type estimatorsintercorrelated

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

A note on parameter estimation of panel vector autoregressive models with intercorrelation ⋮ A randomness test for functional panels ⋮ The empirical saddlepoint method applied to testing for serial correlation in panel time series data ⋮ Modelling data observed irregularly over space and regularly in time ⋮ Modeling Covariance Parameters for Purely Autoregressive Correlated Longitudinal Data ⋮ Testing a linear dynamic panel data model against nonlinear alternatives ⋮ Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities ⋮ NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES ⋮ Saddlepoint approximation methods for testing of serial correlation in panel time series data ⋮ On modeling panels of time series

This page was built for publication: Modelling panels of intercorrelated autoregressive time series