Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
DOI10.1016/J.JECONOM.2006.07.011zbMATH Open1247.91137OpenAlexW2006378613WikidataQ30054713 ScholiaQ30054713MaRDI QIDQ451270FDOQ451270
Authors: Christian B. Hansen 
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.011
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
Cites Work
- Biases in Dynamic Models with Fixed Effects
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Jackknife and analytical bias reduction for nonlinear panel models.
- Longitudinal data analysis using generalized linear models
- How Much Should We Trust Differences-In-Differences Estimates?
- Orthogonal Parameters and Panel Data
- Random group effects and the precision of regression estimates
- Serial Correlation and the Fixed Effects Model
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
- A third-order optimum property of the maximum likelihood estimator
- Difference in difference meets generalized least squares: higher order properties of hypotheses tests
- Approximate Normality of Generalized Least Squares Estimates
- A Note on a Random Coefficients Model
Cited In (15)
- Partial GLS regression
- Clustering, spatial correlations, and randomization inference
- Difference in difference meets generalized least squares: higher order properties of hypotheses tests
- Alternative diff-in-diffs estimators with several pretreatment periods
- Cross-Validation for Correlated Data
- Inference in Random Coefficient Panel Data Models: A Correction and Clarification of the Literature
- Multilevel modeling with correlated effects
- AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION
- Inferring causal impact using Bayesian structural time-series models
- Multivariate time series modeling, estimation and prediction of mortalities
- Multivariate scalar on multidimensional distribution regression with application to modeling the association between physical activity and cognitive functions
- Inference with difference-in-differences revisited
- ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
- Generalized least squares with misspecified serial correlation structures
- Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends
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