A note on autoregressive error components models (Q1062409)

The purpose of this paper is to shed some light on the asymptotic behavior of a wide class of estimators for a dynamic error components model when only the number of individuals tends to infinity, the number of time periods being kept fixed. In particular, it is shown that this asymptotic behavior is highly dependent on the assumption about the initial observations and that it offers very good approximations to the small sample behavior of the various estimators under consideration.