Sample covariances of random-coefficient AR(1) panel model
Statistics Theory
2019-11-11 v2 Statistics Theory
Abstract
The present paper obtains a complete description of the limit distributions of sample covariances in N x n panel data when N and n jointly increase, possibly at different rate. The panel is formed by N independent samples of length n from random-coefficient AR(1) process with the tail distribution function of the random coefficient regularly varying at the unit root with exponent > 0. We show that for (0, 2) the sample covariances may display a variety of stable and non-stable limit behaviors with stability parameter depending on and the mutual increase rate of N and n.
Keywords
Cite
@article{arxiv.1810.11204,
title = {Sample covariances of random-coefficient AR(1) panel model},
author = {Remigijus Leipus and Anne Philippe and Vytaute Pilipauskaite and Donatas Surgailis},
journal= {arXiv preprint arXiv:1810.11204},
year = {2019}
}