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Transforming the error-components model for estimation with general ARMA disturbances

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  • Galbraith, John W.
  • Zinde-Walsh, Victoria

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4002HFN-H/2/65f9b8e8f8c88952121a5cc1d021daf8
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 66 (1995)
Issue (Month): 1-2 ()
Pages: 349-355

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Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:349-355

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Galbraith, John W. & Zinde-Walsh, Victoria, 1992. "The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors," Econometric Theory, Cambridge University Press, vol. 8(01), pages 95-111, March.
  2. Zinde-Walsh, Victoria, 1990. "Errata," Econometric Theory, Cambridge University Press, vol. 6(02), pages 293-293, June.
  3. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
  4. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
  5. Arellano, Manuel, 1990. "Testing for Autocorrelation in Dynamic Random Effects Models," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 127-34, January.
  6. Zinde-Walsh, Victoria & Galbraith, John W., 1991. "Estimation of a linear regression model with stationary ARMA(p, q) errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 333-357, February.
  7. 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.
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Cited by:
  1. Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University.
  2. Baltagi, Badi H. & Jung, Byoung Cheol & Song, Seuck Heun, 2010. "Testing for heteroskedasticity and serial correlation in a random effects panel data model," Journal of Econometrics, Elsevier, vol. 154(2), pages 122-124, February.
  3. Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.

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