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The Hausman–Taylor panel data model with serial correlation

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  • Baltagi, Badi H.
  • Liu, Long

Abstract

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.

Suggested Citation

  • Baltagi, Badi H. & Liu, Long, 2012. "The Hausman–Taylor panel data model with serial correlation," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1401-1406.
  • Handle: RePEc:eee:stapro:v:82:y:2012:i:7:p:1401-1406
    DOI: 10.1016/j.spl.2012.03.016
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    References listed on IDEAS

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    1. A. Bhargava & L. Franzini & W. Narendranathan, 2006. "Serial Correlation and the Fixed Effects Model," World Scientific Book Chapters, in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 4, pages 61-77, World Scientific Publishing Co. Pte. Ltd..
    2. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    3. Peter Egger & Michael Pfaffermayr, 2004. "Distance, trade and FDI: a Hausman-Taylor SUR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 227-246.
    4. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2003. "Fixed effects, random effects or Hausman-Taylor?: A pretest estimator," Economics Letters, Elsevier, vol. 79(3), pages 361-369, June.
    5. Cornwell, Christopher & Rupert, Peter, 1988. "Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 149-155, April.
    6. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
    7. Baltagi, Badi H. & Li, Qi, 1991. "A transformation that will circumvent the problem of autocorrelation in an error-component model," Journal of Econometrics, Elsevier, vol. 48(3), pages 385-393, June.
    8. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    9. Yongcheol Shin & Laura Serlenga, 2007. "Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 361-381.
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    Cited by:

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    3. Armando Lenin Támara Ayús & Lina María Eusse Ossa & Andrés Castellón Pérez, 2017. "Efectos del desarrollo financiero sobre el crecimiento económico de Colombia y Chile, 1982-2014," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 9(1), pages 57-67, February.
    4. Tsakiridis, Andreas & Breen, James & O'Donoghue, Cathal & Hanrahan, Kevin & Wallace, Michael & Crosson, Paul, 2016. "Flexibility of beef suckler cow systems under varying calf retention strategies," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236289, Agricultural Economics Society.
    5. Tuğba KAYHAN & Temur KAYHAN & Engin YARBAŞI, 2019. "Profit management in the case of financial distress and global volatile market behaviour: Evidence from Borsa Istanbul Stock Exchange," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(620), A), pages 179-192, Autumn.

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    More about this item

    Keywords

    Panel data; Fixed effects; Random effects; Instrumental variables; Serial correlation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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