Autoregressive modeling has traditionally been concerned with time-series data from one unit (N = 1). For short time series (T 1). In this work, we illustrate the N/T compensation effect: With an increasing number of persons N at constant T, the model estimation performance increases, and vice versa, with an increasing number of time points T at constant N, the performance increases as well. Based on these observations, we develop sample size recommendations in the form of easily accessible N/T heatmaps for two popular autoregressive continuous-time models.Peer Reviewe
