Asymptotic inference for \(\mathrm{AR}(1)\) panel data

DOI10.1007/s11766-020-3491-xzbMath1474.62037arXiv1611.04248OpenAlexW3084712603MaRDI QIDQ2221511

Jianfei Shen, Tian-Xiao Pang

Publication date: 2 February 2021

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.04248

zbMATH Keywords

panel datalimiting distributionleast squares estimatornon-stationary\(\mathrm{AR}(1)\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Causal inference from observational studies (62D20)

Cites Work

• Unnamed Item
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• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Weak law of large numbers for arrays of random variables
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Towards a unified asymptotic theory for autoregression
• Linear Regression Limit Theory for Nonstationary Panel Data
• On the Statistical Treatment of Linear Stochastic Difference Equations

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