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- Un Estudio Comparativo Del Estimador De Mínimos Cuadrados Generalizados Para Modelos De Panel

Listed author(s):
  • Elena Casquel


    (Universidad Miguel Hernández)

  • Ezequiel Uriel Jiménez


    (Instituto Valenciano de Investigaciones Económicas)

In this paper we make a comparative study of Generalized Least Squares Estimators used by the programs LIMDEP, RATS and TSP for panel data models. In adittion, we analize Hausman test computed by these programs. Monte Carlo experiments are applied in two di¤erents models: models where it is assumed that individual e¤ects and explanatory variables are independent and models where this assumption is relaxed. Futhermore, we use control variates in order to improve the precision of the experiment reducing the number of replications. En este artículo se realiza un estudio comparativo de los estimadores por Mínimos Cuadrados Generalizados y del contraste de Hausman para modelos de datos de panel aplicados por los programas LIMDEP, RATS y TSP. Con este objetivo se han llevado a cabo experimentos de Montecarlo en modelos en los que no existe correlación entre el componente individual y los regresores y para modelos en los que sí existe correlación. En la realización de los experimentos de Montecarlo se han utilizado variables control, con el objeto de aumentar la eficiencia del experimento con un menor número de iteraciones. Palabras clave: Mínimos Cuadrados Generalizados, datos de panel, experimentos de Montecarlo.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2000-12.

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Length: 29 pages
Date of creation: Jul 2000
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2000-12
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