19 citations · 26 across the 6 of their papers we have counts for
5 papers · 1 filter
Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
Vytautė Pilipauskaitė, Viktor Skorniakov, Donatas Surgailis
We discuss joint temporal and contemporaneous aggregation of independent copies of random-coefficient AR(1) process driven by i.i.d. innovations in the domain of normal attract…
Sample covariances of random-coefficient AR(1) panel model
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
The present paper obtains a complete description of the limit distributions of sample covariances in N x n panel data when N and n jointly increase, possibly at different rate. The…
Estimating long memory in panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
It is well-known that random-coefficient AR(1) process can have long memory depending on the index of the tail distribution function of the random coefficient, if it is a regul…
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė +1
We discuss nonparametric estimation of the distribution function of the autoregressive coefficient from a panel of random-coefficient AR(1) data, each of…
Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
Vytaute Pilipauskaite, Donatas Surgailis
We discuss joint temporal and contemporaneous aggregation of independent copies of AR(1) process with random-coefficient when and time scale increase at d…