UID:
(DE-602)edochu_18452_4386
Format:
1 Online-Ressource (29 Seiten)
ISSN:
1436-1086
Series Statement:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 1998,1998,42
Content:
We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be dramatically improved by Burg-type estimates taking edge effects into account. The consequences of ignoring the intercorrelation term are analysed. Partial lack of consistency is demonstrated in this situation. Moreover, a break-even point is found for the strength of the intercorrelation, beyond which a conventional estimate, ignoring correlation, will become increasingly inferior. Asymptotic normality of estimators is established, and our results are illustrated on a real data example, where it is seen that choosing the right type of estimate is of crucial importance.
Language:
English
URN:
urn:nbn:de:kobv:11-10056956
URL:
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