Parameter estimation in panels of intercorrelated time series
We consider parameter estimation in panels of intercorrelated time series. By a factorisation of the conditional log-likelihood function we obtain a new estimator \hat{a}_n,T for panels of intercorrelated autoregressive time series. We generalise this model to a factor model, where a single underlyi...
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| Main Author: | |
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| Format: | Book/Monograph Thesis |
| Language: | English |
| Published: |
2005
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| DOI: | 10.11588/heidok.00006170 |
| Subjects: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: https://doi.org/10.11588/heidok.00006170 Verlag, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-opus-61708 
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| Author Notes: | Stefanie Feiler |
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