Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data

DOI10.1016/J.JMVA.2016.09.007MaRDI QIDQ2374403zbMATH OpenOpenAlexFDO

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

Publication date 15 December 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.07747

zbMATH Keywords

panel dataempirical processKolmogorov-Smirnov statistickernel density estimatorgoodness-of-fit testingrandom-coefficient autoregression

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Abstract: We discuss nonparametric estimation of the distribution function $G(x)$ of the autoregressive coefficient $ain(-1,1)$ from a panel of $N$ random-coefficient AR(1) data, each of length $n$, by the empirical distribution function of lag 1 sample autocorrelations of individual AR(1) processes. Consistency and asymptotic normality of the empirical distribution function and a class of kernel density estimators is established under some regularity conditions on $G(x)$ as $N$ and $n$ increase to infinity. The Kolmogorov-Smirnov goodness-of-fit test for simple and composite hypotheses of Beta distributed $a$ is discussed. A simulation study for goodness-of-fit testing compares the finite-sample performance of our nonparametric estimator to the performance of its parametric analogue discussed in Beran et al. (2010).

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Cited in

(3)

• Estimating long memory in panel random-coefficient AR(1) data
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• Sample covariances of random-coefficient AR(1) panel model

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