SUR estimation of error components models with AR(1) disturbances and unobserbed endogenous effects

Peter Egger

This paper focusses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The derived procedure is a feasible generalized least squares (GLS) estimator, which provides estimates of the variance components in the spirit of Hausman & Taylor (1981).

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Year of publication:	2001
Authors:	Egger, Peter
Publisher:	Wien : Österreichisches Institut für Wirtschaftsforschung
Subject:	Panel Econometrics \| Serial Correlation \| Seemingly unrelated regressions \| Endogenous effects \| Regressionsanalyse \| Regression analysis \| Panel \| Panel study \| Theorie \| Theory \| Außenhandel \| Ökonometrisches Modell \| Regressionsschätzung \| Fehlerkomponenten-Modell