SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
AbstractThis paper focuses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The derived procedure is a feasible generalized least squares (GLS) estimator, which provides estimates of the variance components in the spirit of Hausman & Taylor (1981).
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Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number B6-3.
Date of creation: Mar 2002
Date of revision:
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Panel Econometrics; Serial Correlation; Seemingly unrelated regressions; Endogenous effects;
Other versions of this item:
- Peter Egger, 2001. "SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects," WIFO Working Papers 171, WIFO.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-ECM-2002-07-10 (Econometrics)
- NEP-ETS-2002-07-04 (Econometric Time Series)
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