Joint aggregation of random-coefficient AR(1) processes with common innovations

Vytautė Pilipauskaitė and Donatas Surgailis

Statistics & Probability Letters, 2015, vol. 101, issue C, 73-82

Abstract: We discuss joint temporal and contemporaneous aggregation of N copies of stationary random-coefficient AR(1) processes with common i.i.d. standardized innovations, when N and time scale n increase at different rate. Assuming that the random coefficient a has a density, regularly varying at a=1 with exponent −1/2<β<0, different joint limits of normalized aggregated partial sums are shown to exist when N1/(1+β)/n tends to (i) ∞, (ii) 0, (iii) 0<μ<∞. The paper extends the results in Pilipauskaitė and Surgailis (2014) from the case of idiosyncratic innovations to the case of common innovations.

Keywords: Aggregation; Random-coefficient AR(1) process; Intermediate scaling (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.03.002

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