Weighted least squares estimation in a binary random coefficient panel model with infinite variance

DOI10.1016/J.SPL.2020.108932zbMath1456.62194OpenAlexW3086632798MaRDI QIDQ826678

Eun-Ju Hwang

Publication date: 6 January 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108932

zbMATH Keywords

random coefficient modelpanel modelweighted least squares estimatestable limit

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Causal inference from observational studies (62D20)

Related Items (1)

A new bivariate autoregressive model driven by logistic regression

Cites Work

• Statistical inference in a random coefficient panel model
• Random coefficient autoregressive models: an introduction
• Least squares estimation in a simple random coefficient autoregressive model
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