论文信息 - Random coefficient first-order autoregressive models

Random coefficient first-order autoregressive models

Abstract This paper discusses the random coefficient model applied to panel data in a time-series context. Some of the basic issues involved in pooling problems are studied. An analysis of a first-order autoregressive model, where the autoregressive coefficients across units are regarded as a random sample from a beta distribution, is presented and illustrated by an example using real data. Generalizations to higher-order models are discussed.

Lon-Mu Liu | G. C. Tiao | George C. Tiao | Lon-Mu Liu

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