IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v10y1994i02p396-408_00.html
   My bibliography  Save this article

Estimating Error Component Models With General MA(q) Disturbances

Author

Listed:
  • Baltagi, Badi H.
  • Li, Qi

Abstract

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.

Suggested Citation

  • Baltagi, Badi H. & Li, Qi, 1994. "Estimating Error Component Models With General MA(q) Disturbances," Econometric Theory, Cambridge University Press, vol. 10(2), pages 396-408, June.
  • Handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:396-408_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S026646660000846X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aggarwal, Raj & Goodell, John W., 2013. "Political-economy of pension plans: Impact of institutions, gender, and culture," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1860-1879.
    2. 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.
    3. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
    4. Qiu, Jin & Ma, Qing & Wu, Lang, 2019. "A moving blocks empirical likelihood method for panel linear fixed effects models with serial correlations and cross-sectional dependences," Economic Modelling, Elsevier, vol. 83(C), pages 394-405.
    5. 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.
    6. Amaresh Tiwari & Franz Palm, 2011. "Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects," CREPP Working Papers 1113, Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of Liège.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:396-408_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.