Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects
AbstractThis paper considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is easily generalized to arbitrary stationary and strictly invertible ARMA processes. Furthermore we derive tests of the null hypothesis of no serial correlation as well as tests for discriminating between the AR(1) and MA(1) specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics
Download InfoIf 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.
Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1178.
Date of creation: 01 Aug 2000
Date of revision:
Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
Other versions of this item:
- Sune Karlsson & Jimmy Skoglund, 2004. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," Empirical Economics, Springer, vol. 29(1), pages 79-88, January.
- Karlsson, Sune & Skoglund, Jimmy, 2000. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," Working Paper Series in Economics and Finance 383, Stockholm School of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- 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.
- 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.
- 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.
- Giorgio Calzolari & Laura Magazzini, 2009.
"Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood,"
53/2009, University of Verona, Department of Economics.
- Giorgio Calzolari & Laura Magazzini, 2012. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Empirical Economics, Springer, vol. 43(1), pages 145-152, August.
- Baltagi, Badi H., 2006.
"Forecasting with panel data,"
Discussion Paper Series 1: Economic Studies
2006,25, Deutsche Bundesbank, Research Centre.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.