Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Empirical Economics

Volumn 29, Issue 1, 2004, Pages 79-88

  Karlsson, Sune ^a   Skoglund, Jimmy ^b  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b Group Financial Risk Control   (Sweden)

Author keywords

Autocorrelation; Panel data; Time specific effect; Variance components

Indexed keywords

MONTE CARLO ANALYSIS;

EID: 0345772222     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-003-0190-4     Document Type: Article

References (14)

1. Anderson TW, Hsiao C (1982) Formulation and estimation of dynamic models using panel data. Journal of Econometrics 18:47-82
2. Baltagi BH (1995) Econometric analysis of panel data. Wiley, New York
3. Baltagi BH, Li Q (1991) A transformation that will circumvent the problem of autocorrelation in an error component model. Journal of Econometrics 48:385-393
4. Baltagi BH, Li Q (1994) Estimating errror component models with general MA(q) disturbances. Econometric Theory 10:396-408
5. Baltagi BH, Li Q (1995) Testing AR(1) against MA(1) disturbances in an error component model. Journal of Econometrics 68:133-151
6. Davidson R, McKinnon J (1998) Graphical methods for investigating the size and power of hypothesis tests. The Manchester school 66:1-26
7. Dhrymes PJ (1984) Mathematics for econometrics. Springer, Berlin Heidelberg New York
8. Godfrey LG (1978) Testing against general autoregressive and moving average models when the regressors include lagged dependent variables. Econometrica 46:1293-1302
9. Karlsson S, Skoglund J (2000) Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects. SSE/EFI Working Paper Series in Economics and Finance 383, Stockholm School of Economics
10. King ML (1986) Efficient estimation and testing of regressions with a serially correlated error component. Journal of Quantitative Economics 2:231-247
11. Lillard LA, Willis RJ (1978) Dynamic aspects of earnings mobility. Econometrica 46:985-1012
12. MaCurdy TE (1982) The use of time series processes to model the error structure of earnings in longitudinal data analysis. Journal of Econometrics 18:83-114
13. Magnus JR, Woodland AD (1988) On the maximum likelihood estimation of multivariate regression models containing serially correlated error components. International Economic Review 29:707-725
14. Revankar NS (1979) Error component models with serially correlated time effects. Journal of the Indian Statistical Association 17:137-160