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

DOI10.1016/J.JMVA.2016.09.007zbMATH Open1353.62045arXiv1509.07747OpenAlexW2196818213MaRDI QIDQ2374403FDOQ2374403

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)

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).

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

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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)

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Cited In (3)

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

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