Document Type
Journal Article
Department/Unit
Department of Mathematics
Title
A note on parameter estimations of panel vector autoregressive models with intercorrelation
Language
English
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. © 2009 Institute of Applied Mathematics.
Keywords
Estimation, Intercorrelation, Panel vector autoregression, Time series
Publication Date
2009
Source Publication Title
Acta Mathematicae Applicatae Sinica
Volume
25
Issue
2
Start Page
177
End Page
182
Publisher
Springer Verlag
DOI
10.1007/s10255-007-7023-8
Link to Publisher's Edition
http://dx.doi.org/10.1007/s10255-007-7023-8
ISSN (print)
01689673
ISSN (electronic)
16183932
Recommended Citation
Wu, Jian-Hong, Li-Xing Zhu, and Zai-Xing Li. "A note on parameter estimations of panel vector autoregressive models with intercorrelation." Acta Mathematicae Applicatae Sinica 25.2 (2009): 177-182.