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Semiparametric-efficient estimation of AR(1) panel data models

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  • Park, Byeong U.
  • Sickles, Robin C.
  • Simar, Leopold

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.
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Suggested Citation

  • Park, Byeong U. & Sickles, Robin C. & Simar, Leopold, 2003. "Semiparametric-efficient estimation of AR(1) panel data models," Journal of Econometrics, Elsevier, vol. 117(2), pages 279-309, December.
    • Handle: RePEc:eee:econom:v:117:y:2003:i:2:p:279-309
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    More about this item

    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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