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Specification and estimation of random effects models with serial correlation of general form

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Author Info

  • Skoglund, Jimmy

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Karlsson, Sune

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood estimator is derived and a coherent model selection strategy is suggested for determining the orders of serial correlation as well as the importance of time and individual effects. The methods are applied to the estimation of a production function for the Japanese chemical industry using a sample of 72 firms observed during 1968-1987. Empirically, our focus is on measuring the returns to scale and technical change for the industry.

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File URL: http://swopec.hhs.se/hastef/papers/hastef0433.pdf
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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 0433.

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Length: 25 pages
Date of creation: 13 Feb 2001
Date of revision:
Handle: RePEc:hhs:hastef:0433

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Keywords: Panel data; serial correlation; random effects;

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Cited by:
  1. 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.

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