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

DOI10.1007/BF02925517MaRDI QIDQ1290861zbMATH OpenFDO

Authors Seuck Heun Song, Dietmar Stemann

Publication date 11 January 2000

Published in Statistical Papers (Search for Journal in Brave)

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)

Recommendations

• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• 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
• 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
• Dynamic panel data methods and practice

Cites work

• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 3781344 (Why is no real title available?)
• scientific article; zbMATH DE number 4115765 (Why is no real title available?)
• scientific article; zbMATH DE number 3806764 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• scientific article; zbMATH DE number 3401978 (Why is no real title available?)
• A Transformation Used to Circumvent the Problem of Autocorrelation
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Dynamic Aspects of Earning Mobility
• Finite Sample Efficiency of Ordinary Least Squares in the Linear Regression Model with Autocorrelated Errors
• Leverage and cochrane-orcutt estimation in linear regression
• Note on Estimating Linear Trend when Residuals are Autocorrelated
• Useful matrix transformations for panel data analysis: a survey

Cited in

(4)

• 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
• 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
• ON THE EFFICIENCY OF THE COCHRANE–ORCUTT ESTIMATOR IN THE SERIALLY CORRELATED ERROR COMPONENTS REGRESSION MODEL FOR PANEL DATA
• The Hausman-Taylor panel data model with serial correlation

This page was built for publication: Relative efficiency of first difference estimator in panel data regression with serially correlated error components

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1290861)