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Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
Stockholm School of Economics, Department of Economic Statistic, Stockholm. (Stat@oru)ORCID-id: 0000-0003-0203-4688
Swedbank Group Financial Risk Control, Stockholm, Sweden.
2004 (engelsk)Inngår i: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 29, nr 1, s. 79-88Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as well as tests for discriminating between different specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics.

sted, utgiver, år, opplag, sider
Springer, 2004. Vol. 29, nr 1, s. 79-88
Emneord [en]
Panel data, autocorrelation, time specific effect, variance components
HSV kategori
Forskningsprogram
Statistik
Identifikatorer
URN: urn:nbn:se:oru:diva-61133DOI: 10.1007/s00181-003-0190-4Scopus ID: 2-s2.0-0345772222OAI: oai:DiVA.org:oru-61133DiVA, id: diva2:1144100
Tilgjengelig fra: 2017-09-25 Laget: 2017-09-25 Sist oppdatert: 2017-09-27bibliografisk kontrollert

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