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Random Coefficient Models for Time-Series—Cross-Section Data: Monte Carlo Experiments

JOURNAL ARTICLE published 2007 in Political Analysis

Authors: Nathaniel Beck | Jonathan N. Katz

A Monte Carlo Study

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations

JOURNAL ARTICLE published July 2008 in Journal of Time Series Analysis

Authors: Peter Burridge | Daniela Hristova

ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS VIA HIGH‐ORDER AUTOREGRESSIVE APPROXIMATIONS

JOURNAL ARTICLE published May 1989 in Journal of Time Series Analysis

Authors: Bo Wahlberg

Testing for structural change of AR model to threshold AR model

JOURNAL ARTICLE published September 2011 in Journal of Time Series Analysis

Authors: István Berkes | Lajos Horváth | Shiqing Ling | Johannes Schauer

Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Yiguo Sun | Emir Malikov

Estimation of accelerated failure time models with random effects

DISSERTATION published

Authors: Yaqin Wang

Compressive spectral estimation for nonstationary random processes

PROCEEDINGS ARTICLE published April 2009 in 2009 IEEE International Conference on Acoustics, Speech and Signal Processing

Authors: Alexander Jung | Georg Taubock | Franz Hlawatsch

Estimation for Partially Nonstationary Multivariate Autoregressive Models

JOURNAL ARTICLE published September 1990 in Journal of the American Statistical Association

Authors: Sung K. Ahn | Gregory C. Reinsel

Estimation and Inference for Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Haiqiang Chen | Ying Fang | Yingxing Li

Maximum Likelihood Estimation and Unit Root Test for First Order Random Coefficient AutoRegressive Models

JOURNAL ARTICLE published June 2010 in Journal of Statistical Theory and Practice

Authors: Dazhe Wang | Sujit K. Ghosh | Sastry G. Pantula

Structure and estimation of a class of nonstationary yet nonexplosive GARCH models

JOURNAL ARTICLE published September 2010 in Journal of Time Series Analysis

Authors: Nazim Regnard | Jean-Michel Zakoïan

A comparison of two least-squared random coefficient autoregressive models: with and without autocorrelated errors

JOURNAL ARTICLE published 1 June 2013 in International Journal of Advanced Statistics and Probability

Authors: Autcha Araveeporn

Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data

JOURNAL ARTICLE published January 2017 in Journal of Multivariate Analysis

Research funded by Research Council of Lithuania (MIP-063/2013)

Authors: Remigijus Leipus | Anne Philippe | Vytautė Pilipauskaitė | Donatas Surgailis

Random Coefficient Models

REFERENCE ENTRY published in SpringerReference

Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models

JOURNAL ARTICLE published 3 August 2023 in Statistical Papers

Authors: Yangbing Tang | Zhongzhan Zhang | Jiang Du

Limit Theorems for Logarithmic Averages of Random Vectors

JOURNAL ARTICLE published January 1998 in Mathematische Nachrichten

Authors: István Berkes | Lajos Horváth

A link between random coefficient autoregressive models and some agent based models

JOURNAL ARTICLE published May 2011 in Journal of Economic Interaction and Coordination

Authors: Mamadou Abdoulaye Konté

Rate-optimal nonparametric estimation for random coefficient regression models

JOURNAL ARTICLE published 1 November 2020 in Bernoulli

Authors: Hajo Holzmann | Alexander Meister

Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters

JOURNAL ARTICLE published May 2009 in Statistica Neerlandica

Authors: Eugen Ursu | Pierre Duchesne