Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects

DOI10.1016/j.jeconom.2006.07.011zbMath1247.91137OpenAlexW2006378613WikidataQ30054713 ScholiaQ30054713MaRDI QIDQ451270

Christian B. Hansen

Publication date: 23 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.011

zbMATH Keywords

bias reductionefficiencyautocorrelationpanelhigher order

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (9)

Cross-Validation for Correlated Data ⋮ Difference in difference meets generalized least squares: higher order properties of hypotheses tests ⋮ Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends ⋮ Multivariate time series modeling, estimation and prediction of mortalities ⋮ Clustering, Spatial Correlations, and Randomization Inference ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ Inferring causal impact using Bayesian structural time-series models ⋮ Inference with difference-in-differences revisited ⋮ Alternative diff-in-diffs estimators with several pretreatment periods

Cites Work

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• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Approximate Normality of Generalized Least Squares Estimates
• Biases in Dynamic Models with Fixed Effects
• Serial Correlation and the Fixed Effects Model
• A Note on a Random Coefficients Model
• How Much Should We Trust Differences-In-Differences Estimates?
• Orthogonal Parameters and Panel Data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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