Relative efficiency of first difference estimator in panel data regression with serially correlated error components |
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Authors: | Seuck Heun Song Dietmar Stemann |
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Institution: | (1) Department of Statistics, Duksung Women's University, 419 Ssangmun-Dong Tobong-Ku, 132-714 Seoul, Korea;(2) Department of Economics, University of Hagen, D-58084 Hagen, Germany |
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Abstract: | We consider the pooled cross-sectional and time series regression model when the disturbances follow a serially correlated
one-way error components. In this context we discovered that the first difference estimator for the regression coefficients
is equivalent to the generalized least squares estimator irrespective of the particular form of the regressor matrix when
the disturbances are generated by a first order autoregressive process where the autocorrelation is close to unity. |
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Keywords: | Panel data regression Generalized least squares estimator First Difference estimator Autocorrelation |
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