Sample covariances of random-coefficient AR(1) panel model
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The present paper obtains a complete description of the limit distributions of sample covariances in N × n panel data when N and n jointly increase, possibly at different rate. The panel is formed by N independent samples of length n from random-coefficient AR(1) process with the tail distribution function of the random coefficient regularly varying at the unit root with exponent β >0. We show that for β∈ (0, 2) the sample covariances may display a variety of stable and non-stable limit behaviors with stability parameter depending on β and the mutual increase rate of N and n .
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