Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61289 
Year of Publication: 
1998
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,42
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be dramatically improved by Burg-type estimates taking edge effects into account. The consequences of ignoring the intercorrelation term are analysed. Partial lack of consistency is demonstrated in this situation. Moreover, a break-even point is found for the strength of the intercorrelation, beyond which a conventional estimate, ignoring correlation, will become increasingly inferior. Asymptotic normality of estimators is established, and our results are illustrated on a real data example, where it is seen that choosing the right type of estimate is of crucial importance.
Subjects: 
Time series
Autoregressive
Burg-type estimates
Intercorrelated
Panel data
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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