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Estimation Of Random Coefficient Autoregressive Process: An Empirical Bayes Approach

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  • W. K. Li
  • Y. V. Hui

Abstract

. The problem of estimating panel autoregressive time series is considered. The autoregressive parameters vary over independent realizations from an unknown distribution. An empirical Bayes procedure is suggested to estimate the parameters using information from all realizations.

Suggested Citation

  • W. K. Li & Y. V. Hui, 1983. "Estimation Of Random Coefficient Autoregressive Process: An Empirical Bayes Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(2), pages 89-94, March.
    • Handle: RePEc:bla:jtsera:v:4:y:1983:i:2:p:89-94
    DOI: 10.1111/j.1467-9892.1983.tb00361.x
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    Cited by:

    1. D. K. Shangodoyin & A. O. Adebile & J. F. Ojo & J. O. Olaomi, 2012. "Time series model for predicting the mean death rate of a disease," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 13(2), pages 405-418, June.

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