Journal of the Korean Statistical Society

  • 제25권4호
  • /
  • Pages.529-544
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  • 1996
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  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Estimation of Random Coefficient AR(1) Model for Panel Data

  • 발행 : 1996.12.01
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초록

This paper deals with the problem of estimating the autoregressive random coefficient of a first-order random coefficient autoregressive time series model applied to panel data of time series. The autoregressive random coefficients across individual units are assumed to be a random sample from a truncated normal distribution with the space (-1, 1) for stationarity. The estimates of random coefficients are obtained by an empirical Bayes procedure using the estimates of model parameters. Also, a Monte Carlo study is conducted to support the estimation procedure proposed in this paper. Finally, we apply our results to the economic panel data in Liu and Tiao(1980).

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참고문헌

  1. Continuous Univariate Distributions-1 Johnson, N. L.;Kotz, S.
  2. Australian Journal of Statistics v.34 no.1 Empirical Bayes Estimation for First-Order Autoregressive Processes Kim, Y. M.;Basawa, I. V.
  3. Journal of Time Series Analysis v.4 no.2 Estimation of Random Coefficient Autoregressive Process: An empirical Bayes Approach Li, W. K.;Hui, Y. V.
  4. Journal of Econometrics v.13 Random Coeffcient First-Order Autoregressive Models Liu, L. M.;Tiao, G. C.
  5. Biometrika v.56 Empirical Bayes Estimators in a multiple Linear regression Model Martz, H. F.;Krutchkoff, R. G.
  6. Communication in Statistics-Simulation v.16 no.1 Estimating the Parameters of a Doubly Truncated Normal Distrbution Mittal, M. M.;Dahiya, R. C.
  7. Journal of Time Series Analysis v.1 no.1 The Estimation of Random Coeffcient Autoregressive Models. Ⅰ Nicholls, D. F.;Quinn, B. G.
  8. Lecture Notres in Statistics Random Coefficient Autoregressive Models: An Introduction Nicholls, D. F.;Quinn, B. G.
  9. Journal of Time Series Analysis v.2 no.3 The Estimation of Random Coeffcient Autoregressive models. Ⅱ Quinn, B. G.;Nicholls, D. F.
  10. A Coures in Simulation Ross, S. M.