Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances

This note provides Monte Carlo evidence illustrating that feasible and true GLS estimators of the Baltagi and Griffin (1988) generalized error component model do not have the same sampling behavior. Indeed, while the true GLS estimator is consistent, a feasible GLS estimator need not be, an observation corroborated by the Monte Carlo results.

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Year of publication:	2003
Authors:	Phillips, Robert
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2003, 15, p. 1-4
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005181893