Juárez, Miguel A.; Steel, Mark F. J. - In: Journal of Applied Econometrics 25 (2010) 7, pp. 1128-1154
A first order autoregressive non-Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus allowing for outliers and asymmetries. The modelling approach is designed to gain sufficient flexibility, without...