by Shusong Jin and Wai Keung Li

Journal of Data Science, v.4, no.4, 425-446

Abstract

This paper considers the mixture autoregressive panel (MARP) model. This model can capture the burst and multi-modal phenomenon in some panel data sets. It also enlarges the stationarity region of the traditional AR model. An estimation method based on the EM algorithm is proposed and the assumption required of the model is quite low. To illustrate the method, we fitted the MARP model to the gray-sided voles data. Another MARP model with less restriction is also proposed.

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