Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms
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Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 58 (1976)
Issue (Month): 4 (November)
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- Baltagi, Badi H. & Liu, Long, 2013.
"Estimation and prediction in the random effects model with AR(p) remainder disturbances,"
International Journal of Forecasting,
Elsevier, vol. 29(1), pages 100-107.
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- Phillips, Robert F., 2004. "Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1801-1824, July.
- Badi H. Baltagi & Chihwa Kao & Long Liu, 2007. "Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals," Center for Policy Research Working Papers 93, Center for Policy Research, Maxwell School, Syracuse University.
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