Abstract
The problem of estimating panel autoregressive time series is considered. The autoregressive parameters vary over independent realizations from an unknown distribution. An empirical Bayes procedure is suggested to estimate the parameters using information from all realizations. Copyright © 1983 Wiley Blackwell. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 89-94 |
| Journal | Journal of Time Series Analysis |
| Volume | 4 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Mar 1983 |
Citation
Li, W. K., & Hui, Y. V. (1983). Estimation of random coefficient autoregressive process: An empirical Bayes approach. Journal of Time Series Analysis, 4(2), 89-94. doi: 10.1111/j.1467-9892.1983.tb00361.xKeywords
- Autoregressive process
- Bayes estimates
- Empirical Bayes estimates
- Independent realization