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Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence

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  • Phillips, Robert F.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 9 (July)
Pages: 1801-1824

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:9:p:1801-1824

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  1. Maeshiro, Asatoshi, 1980. "Autocorrelation and Trended Explanatory Variables: A Reply," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 487-89, August.
  2. Marc Nerlove, 1968. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections," Cowles Foundation Discussion Papers 257, Cowles Foundation for Research in Economics, Yale University.
  3. Baltagi, Badi H. & Chang, Young-Jae & Li, Qi, 1992. "Monte Carlo evidence on panel data regressions with AR(1) disturbances and an arbitrary variance on the initial observations," Journal of Econometrics, Elsevier, vol. 52(3), pages 371-380, June.
  4. Lillard, Lee A & Weiss, Yoram, 1979. "Components of Variation in Panel Earnings Data: American Scientists, 1960-70," Econometrica, Econometric Society, vol. 47(2), pages 437-54, March.
  5. Wallace, T D & Hussain, Ashiq, 1969. "The Use of Error Components Models in Combining Cross Section with Time Series Data," Econometrica, Econometric Society, vol. 37(1), pages 55-72, January.
  6. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
  7. Thornton, Daniel L., 1987. "A note on the efficiency of the cochrane-orcutt estimator of the ar(1) regression model," Journal of Econometrics, Elsevier, vol. 36(3), pages 369-376, November.
  8. Maeshiro, Asatoshi, 1979. "On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 259-65, February.
  9. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
  10. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
  11. Baltagi, Badi H. & Li, Qi, 1991. "A transformation that will circumvent the problem of autocorrelation in an error-component model," Journal of Econometrics, Elsevier, vol. 48(3), pages 385-393, June.
  12. Silver, J Lew, 1982. "Generalized Estimation of Error Components Models with a Serially Correlated Temporal Effect," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(2), pages 463-78, June.
  13. Maeshiro, Asatoshi, 1976. "Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 497-500, November.
  14. Wansbeek, Tom, 1992. "Transformations for panel data when the disturbances are autocorrelated," Structural Change and Economic Dynamics, Elsevier, vol. 3(2), pages 375-384, December.
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