SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects

Peter Egger

No B6-3, 10th International Conference on Panel Data, Berlin, July 5-6, 2002 from International Conferences on Panel Data

Abstract: This paper focuses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The derived procedure is a feasible generalized least squares (GLS) estimator, which provides estimates of the variance components in the spirit of Hausman & Taylor (1981).

Keywords: Panel Econometrics; Serial Correlation; Seemingly unrelated regressions; Endogenous effects (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: 2002-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cpd:pd2002:b6-3

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