The Hausman-Taylor panel data model with serial correlation

被引：11
|
作者：
Baltagi, Badi H. [1 ,2 ]
Liu, Long [3 ]
机构：
[1] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA
[2] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA
[3] Univ Texas San Antonio, Dept Econ, Coll Business, San Antonio, TX 78249 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 07期
关键词：
Panel data; Fixed effects; Random effects; Instrumental variables; Serial correlation; EFFICIENT ESTIMATION; VARIABLES; TRADE;
D O I：
10.1016/j.spl.2012.03.016
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：1401 / 1406
页数：6
相关论文
共 50 条
  • [1] Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables
    Tao, Li
    Zhang, Yuanjie
    Tian, Maozai
    [J]. COMPUTATIONAL ECONOMICS, 2019, 53 (03) : 1033 - 1069
  • [2] Estimating farm productivity differentials using panel data: The Hausman-Taylor approach
    Gardebroek, C
    Lansink, AO
    [J]. JOURNAL OF AGRICULTURAL ECONOMICS, 2003, 54 (03) : 397 - 415
  • [3] A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models
    Harding, Matthew
    Lamarche, Carlos
    [J]. ECONOMICS LETTERS, 2014, 124 (02) : 176 - 179
  • [4] Distance, trade and FDI: A Hausman-Taylor SUR approach
    Egger, P
    Pfaffermayr, M
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 2004, 19 (02) : 227 - 246
  • [5] Fixed effects, random effects or Hausman-Taylor? A pretest estimator
    Baltagi, BH
    Bresson, G
    Pirotte, A
    [J]. ECONOMICS LETTERS, 2003, 79 (03) : 361 - 369
  • [6] The Impact of Group Incentives on Performance of Small Firms: Hausman-Taylor Estimates
    Dixit, Kshitija
    Pal, Rupayan
    [J]. MANAGERIAL AND DECISION ECONOMICS, 2010, 31 (06) : 403 - 414
  • [7] Quantile Regression for Dynamic Panel Data Using Hausman–Taylor Instrumental Variables
    Li Tao
    Yuanjie Zhang
    Maozai Tian
    [J]. Computational Economics, 2019, 53 : 1033 - 1069
  • [8] Prediction in a Generalized Spatial Panel Data Model with Serial Correlation
    Baltagi, Badi H.
    Liu, Long
    [J]. JOURNAL OF FORECASTING, 2016, 35 (07) : 573 - 591
  • [9] Testing for heteroskedasticity and serial correlation in a random effects panel data model
    Baltagi, Badi H.
    Jung, Byoung Cheol
    Song, Seuck Heun
    [J]. JOURNAL OF ECONOMETRICS, 2010, 154 (02) : 122 - 124
  • [10] Mexican customs econo- metric analysis: A Hausman-Taylor y Amemiya-MaCurdy estimation
    Torres, America Ivonne Zamora
    Marin-Leyva, Rene Augusto
    [J]. CUADERNOS DE ECONOMIA, 2023, 42 (90): : 723 - 743
12345