Modelling panels of intercorrelated autoregressive time series
相互相关的自回归时间序列面板建模
We propose a method of modelling panel time series data with both inter- and intra-individual 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…