Estimating long memory in panel random-coefficient AR(1) data

DOI10.1111/JTSA.12519MaRDI QIDQ5121009zbMATH OpenOpenAlexFDO

Authors Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė, Donatas Surgailis

Publication date 16 September 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.09735

zbMATH Keywords

measurement errorpanel datalong memory processtail index estimatorrandom-coefficient autoregression

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Causal inference from observational studies (62D20)

Abstract: It is well-known that random-coefficient AR(1) process can have long memory depending on the index $$ of the tail distribution function of the random coefficient, if it is a regularly varying function at unity. We discuss estimation of $$ from panel data comprising N random-coefficient AR(1) series, each of length T. The estimator of $$ is constructed as a version of the tail index estimator of Goldie and Smith (1987) applied to sample lag 1 autocorrelations of individual time series. Its asymptotic normality is derived under certain conditions on N, T and some parameters of our statistical model. Based on this result, we construct a statistical procedure to test if the panel random-coefficient AR(1) data exhibit long memory. A simulation study illustrates finite-sample performance of the introduced estimator and testing procedure.

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Cited in

(6)

• Sample covariances of random-coefficient AR(1) panel model
• Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
• Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Random coefficient autoregression, regime switching and long memory

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