Advanced Search
MyIDEAS: Login

A Monte Carlo evaluation of the efficiency of the PCSE estimator

Contents:

Author Info

  • Xiujian Chen
  • Shu Lin
  • W. Robert Reed

Abstract

Panel data characterized by groupwise heteroscedasticity, cross-sectional correlation, and AR(1) serial correlation pose problems for econometric analyses. It is well known that the asymptotically efficient, Feasible Generalized Least Squares (FGLS) estimator (Parks) sometimes performs poorly in finite samples. In a widely cited paper, Beck and Katz (1995) claim that their estimator panel-corrected SE (PCSE) is able to produce more accurate coefficient SE without any loss in efficiency in 'practical research situations'. This study disputes that claim. We find that the PCSE estimator is usually less efficient than Parks - and substantially so - except when the number of time periods is close to the number of cross sections.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850701719702&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 17 (2010)
Issue (Month): 1 ()
Pages: 7-10

as in new window
Handle: RePEc:taf:apeclt:v:17:y:2010:i:1:p:7-10

Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/RAEL20

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Joseph P. Dejuan & Maria Jose Luengo-Prado, 2006. "Consumption and Aggregate Constraints: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(1), pages 81-99, 02.
  2. Yermack, David, 2006. "Flights of fancy: Corporate jets, CEO perquisites, and inferior shareholder returns," Journal of Financial Economics, Elsevier, vol. 80(1), pages 211-242, April.
  3. Michael A. Lapré & Nikos Tsikriktsis, 2006. "Organizational Learning Curves for Customer Dissatisfaction: Heterogeneity Across Airlines," Management Science, INFORMS, vol. 52(3), pages 352-366, March.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Roberto Fernández Llera & María A. García Valiñas, 2010. "Efficiency and elusion: both sides of public enterprises in Spain," Working Papers 2010/5, Institut d'Economia de Barcelona (IEB).
  2. Roberto Fernández Llera & María A. García Valiñas, 2013. "The Role of Regional Public Enterprises in Spain: Room for a Shadow Government?," Hacienda Pública Española, IEF, vol. 205(2), pages 9-31, June.
  3. Alonso, Jose M. & Clifton, Judith & Díaz-Fuentes, Daniel, 2011. "Did New Public Management Matter? An Empirical Analysis of The Outsourcing and Decentralization Effects on Public Sector Size," MPRA Paper 43255, University Library of Munich, Germany.
  4. Thierry Pénard & Sylvain Dejean & Raphaël Suire, 2011. "Olson’s Paradox Revisited: An Empirical Analysis of Incentives to Contribute in P2P File-sharing Communities," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201105, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:17:y:2010:i:1:p:7-10. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.