Abstract
An autoregressive process is proposed to model time series data with multiple observations at each time point. The joint autocorrelation function for the model has a product form, the first factor being the autocorrelation function for a stationary AR(p) process and the second factor involving a constant intraclass correlation ρ. The least-squares and the Gaussian maximum likelihood estimators of the autoregression parameters θ=(θ1,...,θp)T and the intraclass correlation ρ are presented and their limit distributions are derived.
Original language | English (US) |
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Pages (from-to) | 137-154 |
Number of pages | 18 |
Journal | Journal of Statistical Planning and Inference |
Volume | 39 |
Issue number | 2 |
DOIs | |
State | Published - Apr 15 1994 |
Externally published | Yes |
Keywords
- Intraclass correlation
- Panel time series
- asymptotic distributions
- least-squares estimation
- maximum likelihood estimation
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics