Relative efficiency of first difference estimator in panel data regression with serially correlated error components

DOI10.1007/BF02925517zbMATH Open0928.62079MaRDI QIDQ1290861FDOQ1290861

Authors: Seuck Heun Song, Dietmar Stemann 

Publication date: 11 January 2000

Published in: Statistical Papers (Search for Journal in Brave)

Recommendations

• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
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zbMATH Keywords

autocorrelationgeneralized least squares estimatordifference estimatorpanel data regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (4)

• Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small
• The Hausman-Taylor panel data model with serial correlation
• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals

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