Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects

DOI10.1016/j.jeconom.2006.07.011zbMath1247.91137WikidataQ30054713 ScholiaQ30054713MaRDI QIDQ451270

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

zbMATH Keywords

bias reduction; efficiency; autocorrelation; panel; higher order

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B82: Statistical methods; economic indices and measures

Related Items

Clustering, Spatial Correlations, and Randomization Inference, ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA, Alternative diff-in-diffs estimators with several pretreatment periods, Inferring causal impact using Bayesian structural time-series models, Difference in difference meets generalized least squares: higher order properties of hypotheses tests, Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends, Multivariate time series modeling, estimation and prediction of mortalities, Inference with difference-in-differences revisited

Cites Work

• Unnamed Item
• Longitudinal data analysis using generalized linear models
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Random group effects and the precision of regression estimates
• 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
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Approximate Normality of Generalized Least Squares Estimates
• Biases in Dynamic Models with Fixed Effects
• Serial Correlation and the Fixed Effects Model
• A Note on a Random Coefficients Model
• How Much Should We Trust Differences-In-Differences Estimates?
• Orthogonal Parameters and Panel Data
• 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