Semiparametric-efficient estimation of AR(1) panel data models
نویسندگان
چکیده
منابع مشابه
Semiparametric Efficient Estimation of AR(1) Panel Data Models∗
This study focuses on the semiparametric efficient estimation of random effect panel models containing AR(1) disturbances. We also consider such estimators when the effects and regressors are correlated (Hausman and Taylor, 1981). We introduce two semiparametric efficient estimators that make minimal assumptions on the distribution of the random errors, effects, and the regressors and that prov...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2003
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00149-0