ESTIMATING ERROR COMPONENT MODELS WITH GENERAL MA(Q) DISTURBANCES Academic Article

abstract

• 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 data regressions where brute force GLS is in many cases not feasible.This estimation method performs well relative to true GLS in Monte-Carlo experiments.

authors

• Li, Qi

published proceedings

• ECONOMETRIC THEORY

author list (cited authors)

• BALTAGI, B. H., & LI, Q.

citation count

• 13

complete list of authors

• BALTAGI, BH||LI, Q

publication date

• June 1994

publisher

• Cambridge University Press (CUP)  Publisher

published in

• ECONOMETRIC THEORY  Journal

keywords

• 38 Economics
• 3802 Econometrics

Digital Object Identifier (DOI)

• 10.1017/S026646660000846X

start page

• 396

end page

• 408

volume

• 10

issue

• 2

URL

• http://dx.doi.org/10.1017/s026646660000846x