Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model

DOI10.1080/02664760802125213zbMath1286.62074OpenAlexW2032117331MaRDI QIDQ3532725

Wen-Den Chen

Publication date: 28 October 2008

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802125213

zbMATH Keywords

panel data modellong memoryspectral density functioninterventionadditive outlierinnovation outlierWhittle approach

Mathematics Subject Classification ID

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

Related Items (1)

Detection of outliers in panel data of intervention effects model based on variance of remainder disturbance

Uses Software

• longmemo

Cites Work

• Unnamed Item
• High breakdown-point and high efficiency robust estimates for regression
• Influence functionals for time series (with discussion)
• Gaussian and non-Gaussian linear time series and random fields
• An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
• Testing for spurious regression in a panel data model with the individual number and time length growing

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