A note on parameter estimations of panel vector autoregressive models with intercorrelation

Jian Hong Wu; Lixing ZHU; Zai Xing Li

doi:10.1007/s10255-007-7023-8

A note on parameter estimations of panel vector autoregressive models with intercorrelation

Jian Hong Wu^*, Lixing ZHU, Zai Xing Li

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

Abstract

This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

Original language	English
Pages (from-to)	177-182
Number of pages	6
Journal	Acta Mathematicae Applicatae Sinica
Volume	25
Issue number	2
DOIs	https://doi.org/10.1007/s10255-007-7023-8
Publication status	Published - Apr 2009

Scopus Subject Areas

Applied Mathematics

User-Defined Keywords

Estimation
Intercorrelation
Panel vector autoregression
Time series

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10.1007/s10255-007-7023-8

Cite this

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title = "A note on parameter estimations of panel vector autoregressive models with intercorrelation",

abstract = "This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.",

keywords = "Estimation, Intercorrelation, Panel vector autoregression, Time series",

author = "Wu, {Jian Hong} and Lixing ZHU and Li, {Zai Xing}",

note = "Funding Information: Manuscript received March 13, 2007. Revised February 25, 2008. This study was supported by a grant from the Research Grants Council of Hong Kong. Also the work of the first author was supported in part by project 07JJD790154 and Youth Talent Foundation of Zhejiang Gongshang University.",

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AU - ZHU, Lixing

AU - Li, Zai Xing

N1 - Funding Information: Manuscript received March 13, 2007. Revised February 25, 2008. This study was supported by a grant from the Research Grants Council of Hong Kong. Also the work of the first author was supported in part by project 07JJD790154 and Youth Talent Foundation of Zhejiang Gongshang University.

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AB - This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

KW - Estimation

KW - Intercorrelation

KW - Panel vector autoregression

KW - Time series

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A note on parameter estimations of panel vector autoregressive models with intercorrelation

Abstract

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