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Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Author

Listed:
  • Skoglund, Jimmy

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Karlsson, Sune

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established for a comprehensive specification which nests these models as well as all commonly used random effects models. When only N or T grows large only a subset of the parameters are consistent and asymptotic normality is established for the consistent subsets.

Suggested Citation

  • Skoglund, Jimmy & Karlsson, Sune, 2001. "Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation," SSE/EFI Working Paper Series in Economics and Finance 0432, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0432
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    More about this item

    Keywords

    Panel data; serial correlation; random effects;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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