The polynomial aggregated AR(1) model*
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Publication:5469921
DOI10.1111/j.1368-423X.2006.00178.xzbMath1088.62105MaRDI QIDQ5469921
Publication date: 26 May 2006
Published in: The Econometrics Journal (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data ⋮ From short to long memory: aggregation and estimation ⋮ Estimating aggregate autoregressive processes when only macro data are available ⋮ Asymptotic normality of the mixture density estimator in a disaggregation scheme ⋮ An Omnibus Test for Time Series ModelI(d) ⋮ Limit Theorems for Aggregated Linear Processes
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