The Polynomial Aggregated AR (1) Model  

Oleh:

Chong, Terence Tai-Leung

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 1 (2006), page 98-122.
Topik: aggregation; polynomial density; long memory; aggregation; multi - modality
Fulltext: 98.pdf (173.81KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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