Modelling panels of intercorrelated autoregressive time series

• 成果类型: Article
• 署名作者: Hjellvik, V; Tjostheim, D
• 署名单位: Institute of Marine Research - Norway; University of Bergen
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/86.3.573
• 发表日期: 1999
• 页码: 573590
• 关键词: clethrionomys rufocanus; hokkaido

摘要

We propose a method of modelling panel time series: data with both inter- and intraindividual correlation, and of fitting an autoregressive model to such data. Estimators are obtained by a conditional likelihood argument. If there are few observations in each series, the estimators can be dramatically improved by Burg-type:estimators 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 estimator, 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 estimator is crucial.