Random coefficient first-order autoregressive models

DOI10.1016/0304-4076(80)90082-2zbMath0435.62091OpenAlexW2008020559MaRDI QIDQ5904392

George C. Tiao, Lon-Mu Liu

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90082-2

zbMATH Keywords

beta distributionpooling problemsrandom coefficient first-order autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors ⋮ ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE PROCESS: AN EMPIRICAL BAYES APPROACH

Cites Work

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• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• A Bayesian approach to growth curves
• Bayesian Estimation of Means for the Random Effect Model

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