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Common structure in panels of short time series

Author

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  • Yao, Qiwei
  • Tong, Howell
  • Finkenstädt, Bärbel
  • Stenseth, Nils Chr

Abstract

Typically, in many studies in ecology, epidemiology, biomedicine and others, we are confronted with panels of short time–series of which we are interested in obtaining a biologically meaningful grouping. Here, we propose a bootstrap approach to test whether the regression functions or the variances of the error terms in a family of stochastic regression models are the same. Our general setting includes panels of time–series models as a special case. We rigorously justify the use of the test by investigating its asymptotic properties, both theoretically and through simulations. The latter confirm that for finite sample size, bootstrap provides a better approximation than classical asymptotic theory.We then apply the proposed tests to the mink–muskrat data across 81 trapping regions in Canada. Ecologically interpretable groupings are obtained, which serve as a necessary first step before a fuller biological and statistical analysis of the food chain interaction.

Suggested Citation

  • Yao, Qiwei & Tong, Howell & Finkenstädt, Bärbel & Stenseth, Nils Chr, 2000. "Common structure in panels of short time series," LSE Research Online Documents on Economics 6325, London School of Economics and Political Science, LSE Library.
  • Handle: RePEc:ehl:lserod:6325
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    File URL: http://eprints.lse.ac.uk/6325/
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    Citations

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    Cited by:

    1. Wenyang Zhang & Qiwei Yao & Howell Tong & Nils Chr. Stenseth, 2003. "Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction," Biometrics, The International Biometric Society, vol. 59(4), pages 813-821, December.
    2. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
    3. Tong, Howell, 2015. "Threshold models in time series analysis—Some reflections," Journal of Econometrics, Elsevier, vol. 189(2), pages 485-491.

    More about this item

    Keywords

    bootstrap; Canadian mink-muskrat data; nonlinear time-series; predator-prey interactions; similarity measure; threshold modelling;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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