Pré-Publication, Document De Travail Année : 2019

Sample covariances of random-coefficient AR(1) panel model

Résumé

The present paper obtains a complete description of the limit distributions of sample covariances in N × n panel data when N and n jointly increase, possibly at different rate. The panel is formed by N independent samples of length n from random-coefficient AR(1) process with the tail distribution function of the random coefficient regularly varying at the unit root with exponent β > 0. We show that for β ∈ (0, 2) the sample covariances may display a variety of stable and non-stable limit behaviors with stability parameter depending on β and the mutual increase rate of N and n.

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Dates et versions

hal-01903304 , version 1 (24-10-2018)
hal-01903304 , version 2 (04-11-2019)

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Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite, Donatas Surgailis. Sample covariances of random-coefficient AR(1) panel model. 2019. ⟨hal-01903304v2⟩
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