JSM 2004 Online Program

Abstract #300781

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Activity Number:	161
Type:	Contributed
Date/Time:	Monday, August 9, 2004 : 2:00 PM to 3:50 PM
Sponsor:	General Methodology
Abstract - #300781
Title:	Nonparametric Empirical Bayes Method in Some Panel Time Series Models
Author(s):	Ka Yee Liu*+ and Wai Keung Li
Companies:	University of Hong Kong and University of Hong Kong
Address:	Room 515, Meng Wah Complex, Hong Kong, International, , Hong Kong
Keywords:	empirical Bayes ; panel time series ; threshold autoregressive model ; non-Gaussian time series
Abstract:	Empirical Bayes method has been proposed to improve the least squares estimates in the analysis of panel autoregressive time series. We extend the idea to analyze the so-called panel Threshold Autoregressive (TAR) time series and panel non-Gaussian time series. Simulation studies have shown that the Empirical Bayes method can improve the least squares estimates sufficiently well to give better estimates of the true parameter in the analysis of panel TAR time series and panel non-Gaussian time series.

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