Effect of aggregation on estimators in AR(1) sequence

DOI10.1007/s11749-008-0123-9zbMath1203.62156OpenAlexW2132959416MaRDI QIDQ619121

Lajos Horváth, Remigijus Leipus

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-008-0123-9

zbMATH Keywords

least squaresrandom coefficients \(AR(1)\)

Mathematics Subject Classification ID

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

Related Items (2)

Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data ⋮ Limit Theorems for Aggregated Linear Processes

Cites Work

• Long memory relationships and the aggregation of dynamic models
• Contemporaneous aggregation of linear dynamic models in large economies
• Orthogonal series density estimation in a disaggregation scheme
• Linear Regression Limit Theory for Nonstationary Panel Data
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Some Concepts of Dependence

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