On the efficiency of the Cochrane-Orcutt estimator in the serially correlated error components regression model for panel data

被引：1

作者：

Song, SH

Trenkler, G

机构：

[1] Korea Univ, Dept Stat, Sungbuk Ku, Seoul 136701, South Korea

[2] Univ Dortmund, Dept Stat, D-44221 Dortmund, Germany

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2001年 / 30卷 / 02期

关键词：

panel regression; OLSE; GLSE; COE; autocorrelation;

D O I：

10.1081/STA-100002025

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：

We consider the panel data regression model when the disturbances follow a serially correlated one-way error structure. For the usual linear regression model with AR(I) disturbances, the Cochrane-Orcutt(CO) estimator is a well known alternative to OLS-and GLS-estimator. In this paper we show in which situations the GO-estimator is worse or better than its competitors in terms of efficiency which is here defined as the ratio of total variances.

引用

页码：195 / 207

页数：13

共 39 条

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