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The polynomial aggregated AR(1) model

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  • Terence Tai-Leung Chong

Abstract

This paper develops a new kind of aggregation model. We extend the work of Linden (1999) to allow the AR coefficient to be drawn from a polynomial density function. The polynomial density incorporates a wealth of multi-modal density functions as special cases. Given the aggregate data, we provide estimation methods for the coefficients and the order of the polynomial density. A test for the functional form of the polynomial is provided. We apply the model to the consumption data of the G7 industrial countries and recover the individual attributes of the consumption behaviour in those countries. Copyright Royal Economic Society 2006

Suggested Citation

  • Terence Tai-Leung Chong, 2006. "The polynomial aggregated AR(1) model," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 98-122, March.
  • Handle: RePEc:ect:emjrnl:v:9:y:2006:i:1:p:98-122
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2006.00178.x
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    Cited by:

    1. Bernard Candelpergher & Michel Miniconi & Florian Pelgrin, 2015. "Long-memory process and aggregation of AR(1) stochastic processes: A new characterization," Working Papers hal-01166527, HAL.
    2. repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
    3. Terence Tai-Leung Chong & Guoxin Liu & Isabel Kit-Ming Yan, 2007. "Habit Formation: Deep and Uncertain," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-10.
    4. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, AccessEcon, vol. 3(67), pages 1-10.
    5. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
    6. Leipus, Remigijus & Philippe, Anne & Pilipauskaitė, Vytautė & Surgailis, Donatas, 2017. "Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 121-135.
    7. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS

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