English, Article, Journal or magazine article edition: SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects Peter Egger

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
Author
  • Peter Egger
Physical Description
  • preprint
Notes
  • SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
  • RePEc:wfo:wpaper:y:2001:i:171
  • This paper focuses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The derived procedure is a feasible generalized least squares (GLS) estimator, which provides estimates of the variance components in the spirit of Hausman &​ Taylor (1981).
  • Panel Econometrics; Serial Correlation; Seemingly unrelated regressions; Endogenous effects
  • RePEc:cpd:pd2002:b6-3
Language
  • English
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