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- Un Estudio Comparativo Del Estimador De Mínimos Cuadrados Generalizados Para Modelos De Panel

Author

Listed:
  • Elena Casquel

    (Universidad Miguel Hernández)

  • Ezequiel Uriel Jiménez

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

In this paper we make a comparative study of Generalized Least Squares Estimators used by the programs LIMDEP, RATS and TSP for panel data models. In adittion, we analize Hausman test computed by these programs. Monte Carlo experiments are applied in two di¤erents models: models where it is assumed that individual e¤ects and explanatory variables are independent and models where this assumption is relaxed. Futhermore, we use control variates in order to improve the precision of the experiment reducing the number of replications. En este artículo se realiza un estudio comparativo de los estimadores por Mínimos Cuadrados Generalizados y del contraste de Hausman para modelos de datos de panel aplicados por los programas LIMDEP, RATS y TSP. Con este objetivo se han llevado a cabo experimentos de Montecarlo en modelos en los que no existe correlación entre el componente individual y los regresores y para modelos en los que sí existe correlación. En la realización de los experimentos de Montecarlo se han utilizado variables control, con el objeto de aumentar la eficiencia del experimento con un menor número de iteraciones. Palabras clave: Mínimos Cuadrados Generalizados, datos de panel, experimentos de Montecarlo.

Suggested Citation

  • Elena Casquel & Ezequiel Uriel Jiménez, 2000. "- Un Estudio Comparativo Del Estimador De Mínimos Cuadrados Generalizados Para Modelos De Panel," Working Papers. Serie EC 2000-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:2000-12
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