Generalized linear time series regression

We consider a cross-section model that contains an individual component, a deterministic time trend and an unobserved latent common time series component. We show the following oracle property: the parameters of the latent time series and the parameters of the deterministic time trend can be estimated with the same asymptotic accuracy as if the parameters of the individual component were known. We consider this model in two settings: least squares fits of linear specifications of the individual component and the parameters of the deterministic time trend and, more generally, quasilikelihood estimation in a generalized linear time series model. Copyright 2011, Oxford University Press.