The Hausman-Taylor panel data model with serial correlation

被引：12
|
作者：
Baltagi, Badi H. [1 ,2 ]
Liu, Long [3 ]
机构：
[1] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA
[2] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA
[3] Univ Texas San Antonio, Dept Econ, Coll Business, San Antonio, TX 78249 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 07期
关键词：
Panel data; Fixed effects; Random effects; Instrumental variables; Serial correlation; EFFICIENT ESTIMATION; VARIABLES; TRADE;
D O I：
10.1016/j.spl.2012.03.016
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：1401 / 1406
页数：6
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