Effect of aggregation on estimators in AR(1) sequence
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Publication:619121
DOI10.1007/s11749-008-0123-9zbMath1203.62156OpenAlexW2132959416MaRDI QIDQ619121
Lajos Horváth, Remigijus Leipus
Publication date: 22 January 2011
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-008-0123-9
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data, Limit Theorems for Aggregated Linear Processes
Cites Work
- Long memory relationships and the aggregation of dynamic models
- Contemporaneous aggregation of linear dynamic models in large economies
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- Some Concepts of Dependence