Estimating Autocorrelations in Fixed-Effects Models
This paper discusses the estimation of serial correlation in fixed effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of the time series goes to infinity, are not consistent for a short time series as the size of the cross-section goes to infinity. This form of inconsistency is of particular concern because a short time series of a large cross-section is the typical case in longitudinal data. This paper extends Nickell's method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first-order autocorrelations and to error processes other than first-order autoregressions. The paper also presents statistical tables that facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an alternative method due to MaCurdy. Finally, the paper uses Monte Carlo methods to explore the finite-sample properties of both methods.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Apr 1983|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 609 258-4041
Fax: 609 258-2907
Web page: http://www.irs.princeton.edu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bhargava, A & Franzini, L & Narendranathan, W, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 533-49, October.
- Stephen Nickell, 1980. "Correcting the Biases in Dynamic Models with Fixed Effects," Working Papers 513, Princeton University, Department of Economics, Industrial Relations Section..
- Lillard, Lee A & Willis, Robert J, 1978.
"Dynamic Aspects of Earning Mobility,"
Econometric Society, vol. 46(5), pages 985-1012, September.
- Orley Ashenfelter & Gary Solon, 1982. "Longitudinal Labor Market Data: Sources, Uses, and Limitations," Working Papers 535, Princeton University, Department of Economics, Industrial Relations Section..
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Mellow, Wesley S, 1981. "Unionism and Wages: A Longitudinal Analysis," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 43-52, February.
- MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
When requesting a correction, please mention this item's handle: RePEc:pri:indrel:dsp018623hx738. 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: (David Long)
If references are entirely missing, you can add them using this form.