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

DOI10.1007/S10255-007-7023-8MaRDI QIDQ844045zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Panel vector autoregressive models: a survey
• Estimating Vector Autoregressions with Panel Data
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
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• Panel vector autoregression under cross-sectional dependence
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• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Panel VAR models with interactive fixed effects
• Robust estimation of moments in dynamic panel models with potential intercorrelation

Cites work

• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimating Vector Autoregressions with Panel Data
• 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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