Modelling panels of intercorrelated autoregressive time series

DOI10.1093/BIOMET/86.3.573zbMATH Open0942.62101OpenAlexW1998674812MaRDI QIDQ4935359FDOQ4935359

Authors: 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

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zbMATH Keywords

panel datatime seriesautoregressiveBurg-type estimatorsintercorrelated

Mathematics Subject Classification ID

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

Cited In (14)

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

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