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Semiparametric Efficient Estimation of AR(1) Panel Data Models

Author

Listed:
  • Park, B.U.
  • Sickles, R.C.
  • Simar, L.

Abstract

This study focuses on the semiparametric efficient estimation of random effect panel models containing AR(1) disturbances. We also consider such estimators when the effects and regressors are correlated.

Suggested Citation

  • Park, B.U. & Sickles, R.C. & Simar, L., 2000. "Semiparametric Efficient Estimation of AR(1) Panel Data Models," Papers 0020, Catholique de Louvain - Institut de statistique.
    • Handle: RePEc:fth:louvis:0020
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    More about this item

    Keywords

    EFFICIENCY ; EVALUATION ; ECONOMETRIC MODELS;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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