oru.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 29, no 1, p. 79-88Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
Springer, 2004. Vol. 29, no 1, p. 79-88
Keyword [en]
Panel data, autocorrelation, time specific effect, variance components
National Category
Economics Probability Theory and Statistics
Research subject
Statistics
Identifiers
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
Available from: 2017-09-25 Created: 2017-09-25 Last updated: 2017-09-27Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records BETA

Karlsson, Sune

Search in DiVA

By author/editor
Karlsson, Sune
In the same journal
Empirical Economics
EconomicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 77 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf