A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present
Download full text from publisher
References listed on IDEAS
- Rafael E. De Hoyos & Vasilis Sarafidis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LP, vol. 6(4), pages 482-496, December.
- David Roodman, 2009.
"How to do xtabond2: An introduction to difference and system GMM in Stata,"
StataCorp LP, vol. 9(1), pages 86-136, March.
- David Roodman, 2006. "How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata," Working Papers 103, Center for Global Development.
- Grubb, David & Magee, Lonnie, 1988. "A Variance Comparison of OLS and Feasible GLS Estimators," Econometric Theory, Cambridge University Press, vol. 4(02), pages 329-335, August.
- David Roodman, 2006. "How to Do xtabond2," North American Stata Users' Group Meetings 2006 8, Stata Users Group.
- Michael Wasylenko, 1997. "Taxation and economic development: the state of the economic literature," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 37-52.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, January.
- John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Preston, John & Almutairi, Talal, 2014. "Evaluating the long term impacts of transport policy: The case of bus deregulation revisited," Research in Transportation Economics, Elsevier, vol. 48(C), pages 263-269.
- Preston, John & Almutairi, Talal, 2013. "Evaluating the long term impacts of transport policy: An initial assessment of bus deregulation," Research in Transportation Economics, Elsevier, vol. 39(1), pages 208-214.
More about this item
KeywordsPanel Data estimation; Monte Carlo analysis; FGLS; PCSE; Groupwise Heteroscedasticity; Serial Correlation; Cross-sectional Dependence; Stata; EViews;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-19 (All new papers)
- NEP-ECM-2007-05-19 (Econometrics)
- NEP-ETS-2007-05-19 (Econometric Time Series)
StatisticsAccess and download statistics
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:cbt:econwp:07/01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee). General contact details of provider: http://edirc.repec.org/data/decannz.html .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.