Estimating Error Component Models With General MA(q) Disturbances
This paper provides a simple estimation method for an error component regression model with general MA(<italic>q</italic>) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA(<italic>q</italic>) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.
Year of publication: |
1994
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Authors: | Baltagi, Badi H. ; Li, Qi |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 10.1994, 02, p. 396-408
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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