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 $G(x)$ of the autoregressive coefficient $a\in (-1,1)$ from a panel of $N$ random-coefficient AR(1) data, each of…