A transformation that will circumvent the problem of autocorrelation in an error-component model

DOI10.1016/0304-4076(91)90070-TzbMath0735.62108OpenAlexW2080786291MaRDI QIDQ1176603

Badi H. Baltagi, Q. Li

Publication date: 25 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90070-t

zbMATH Keywords

maximum likelihood estimationtransformationpanel datageneralized least squaresautocorrelationAR(1) modelAR(2) modelAR(4) modelerror-component modelestimates of the variance componentsserially correlated error-components disturbancesspherical disturbancesWLS procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• A note on spectral decomposition and maximum likelihood estimation in ANOVA models with balanced data
• Maximum likelihood estimation of random effects models
• Formulation and estimation of dynamic models using panel data
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Estimation of Dynamic Models with Error Components
• Serial Correlation and the Fixed Effects Model
• Dynamic Aspects of Earning Mobility
• On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components
• On a simple transformation for second‐order autocorrelated disturbances in regression analysis

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