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Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10001600058

Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

direct sampling are outlined and a template for including model uncertainty is described. The needed tools, relying on … various Markov chain Monte Carlo techniques, are developed and direct sampling, with and without effect selection, is …

Persistent link: https://www.econbiz.de/10002595455