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日期精度：到日 1 篇 · 到月 85 篇 · 到年 0 篇
Optimal Weighting of Unbiased Estimators
ML Estimation of Linear Regression Model with AR(1) Errors and Two Observations
Testing for Correlated Effects in Panels
A Mixed-Error Component Model
Incomplete panels
Estimating Error Component Models With General MA( q ) Disturbances
具有一般 MA(q) 扰动的误差成分模型估计
This paper provides a simple estimation method for an error component regression model with general MA( q ) 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( q ) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel…
The Wald, LR, and LM Inequality
An Approximate Transformation for the Error Component Model with MA(q) Disturbances
Nested Effects
MINQUE under Heteroskedasticity
Trace Minimization of Singular Systems with Cross-Equation Restrictions
An Approximate Transformation for the Error Component Model with MA(q) Disturbances
Monte Carlo results on several new and existing tests for the error component model
A monotonic property for iterative GLS in the two-way random effects model
Monte Carlo evidence on panel data regressions with AR(1) disturbances and an arbitrary variance on the initial observations
Sampling Distributions and Efficiency Comparisons of OLS and GLS in the Presence of Both Serial Correlation and Heteroskedasticity
The Bias of the Standard Errors of OLS for an AR(1) Process with an Arbitrary Variance on the Initial Observations
A Note on the Estimation of Simultaneous Equations with Error Components
含误差分量的联立方程估计札记
Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In…
Variance Component Estimation Under Misspecification
A transformation that will circumvent the problem of autocorrelation in an error-component model
The Differencing Test in a Regression with Equicorrelated Disturbances
The Heteroskedastic Consequences of an Arbitrary Variance for the Initial Disturbance of an AR(1) Model
On efficient estimation with panel data: An empirical comparison of instrumental variables estimators
面板数据的有效估计：工具变量估计量的经验比较
Abstract This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time…