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math.ST2019
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…
math.ST2018
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…