Random coefficient first-order autoregressive models |
| |
Authors: | Lon-Mu Liu George C Tiao |
| |
Institution: | University of California, Los Angeles, CA 90024, USA;University of Wisconsin, Madison, WI 53706, USA |
| |
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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|