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Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

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  • Sune Karlsson

    ()

  • Jimmy Skoglund

    ()

Abstract

The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as well as tests for discriminating between different specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics. Copyright Springer-Verlag 2004

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File URL: http://hdl.handle.net/10.1007/s00181-003-0190-4
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 29 (2004)
Issue (Month): 1 (January)
Pages: 79-88

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Handle: RePEc:spr:empeco:v:29:y:2004:i:1:p:79-88

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Related research

Keywords: Panel data; autocorrelation; time specific effect; variance components; C12; C13; C23; C51;

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Cited by:
  1. 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.
  2. Jimmy Skoglund & Sune Karlsson, 2002. "Asymptotics for random effects models with serial correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-1, International Conferences on Panel Data.
  3. Giorgio Calzolari & Laura Magazzini, 2009. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Working Papers 53/2009, University of Verona, Department of Economics.
  4. Robert F. Phillips, 2012. "On computing generalized least squares and maximum-likelihood estimates of error-components models with incomplete panels and correlated disturbances," Economics Bulletin, AccessEcon, vol. 32(4), pages 3017-3024.
  5. Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank, Research Centre.
  6. Marcel die Dama & Boniface ngah Epo & Galex syrie Soh, 2013. "Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data," Economics Bulletin, AccessEcon, vol. 33(1), pages 625-634.
  7. Pardo Martínez, Clara Inés & Silveira, Semida, 2012. "Analysis of energy use and CO2 emission in service industries: Evidence from Sweden," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(7), pages 5285-5294.
  8. Pardo Martínez, Clara Inés, 2013. "An analysis of eco-efficiency in energy use and CO2 emissions in the Swedish service industries," Socio-Economic Planning Sciences, Elsevier, vol. 47(2), pages 120-130.

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