The Hausman–Taylor panel data model with serial correlation

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.

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Year of publication:	2012
Authors:	Baltagi, Badi H. ; Liu, Long
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 7, p. 1401-1406
Publisher:	Elsevier
Subject:	Panel data \| Fixed effects \| Random effects \| Instrumental variables \| Serial correlation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010576149