A note on parameter estimation of panel vector autoregressive models with intercorrelation

DOI10.1007/S10255-007-7023-8zbMATH Open1178.62105OpenAlexW2095160096MaRDI QIDQ844045FDOQ844045

Authors: Jian-Hong Wu, Li-Xing Zhu, Zaixing Li 

Publication date: 18 January 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-7023-8

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zbMATH Keywords

time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Estimating Vector Autoregressions with Panel Data
• Title not available (Why is that?)
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Modelling panels of intercorrelated autoregressive time series

Cited In (3)

• On the estimation and inference in factor-augmented panel regressions with correlated loadings
• Parameter estimation in panels of intercorrelated time series.
• Modelling panels of intercorrelated autoregressive time series

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