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Estimating Error Component Models With General MA(q) Disturbances

  • Baltagi, Badi H.
  • Li, Qi

This paper provides a simple estimation method for an error component regression model with general MA( q) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA( q) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 02 (June)
Pages: 396-408

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Handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:396-408_00
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