Browsing by Author "Tjøstheim, Dag"

Now showing items 1-4 of 4

1998-04-03Buch

Modeling Panels of Intercorrelated Autoregressive Time Series

Hjellvik, Vidar; Tjøstheim, Dag

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. ...
1998-02-16Buch

Nonparametric Estimation and Testing of Interaction in Additive Models

Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. ...
2000-03-06Buch

Nonparametric Estimation in a Nonlinear Cointegration Type Model

Karlsen, Hans Arnfinn; Myklebust, Terje; Tjøstheim, Dag
1998-03-17Buch

Nonparametric Estimation in Null Recurrent Time Series

Karlsen, Hans Arnfinn; Tjøstheim, Dag

We develop a nonparametric estimation theory in a non-stationary environment, more precisely in the framework of null recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the ...