A note on autoregressive error components models

DOI10.1016/0304-4076(85)90122-8zbMath0572.62096OpenAlexW1997349792MaRDI QIDQ1062409

P. Sevestre, Alain Trognon

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90122-8

zbMATH Keywords

asymptotic behaviorestimatorsautoregressive error components modelsdynamic error components modelsmall sample behavior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence ⋮ On bias, inconsistency, and efficiency of various estimators in dynamic panel data models ⋮ Estimating long-run relationships from dynamic heterogeneous panels ⋮ Small sample properties of simultaneous error components models ⋮ Reprint of: Initial conditions and moment restrictions in dynamic panel data models ⋮ Initial conditions and moment restrictions in dynamic panel data models ⋮ Piecewise transition models with random effects for unequally spaced longitudinal measurements ⋮ Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models ⋮ A note on autoregressive error components models

Cites Work

• Exogenous variables and asymptotic bias in dynamic models with autocorrelated errors: a note
• A note on autoregressive error components models
• Formulation and estimation of dynamic models using panel data
• Estimation of Dynamic Models with Error Components
• Statistics for Modern Business Decisions (2nd ed.).

This page was built for publication: A note on autoregressive error components models