The Hausman-Taylor Panel Data Model with Serial Correlation

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.

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Year of publication:	2012-03
Authors:	Baltagi, Badi H. ; Liu, Long
Institutions:	Center for Policy Research, Maxwell School
Subject:	Panel Data \| Fixed Effects \| Random Effects \| Instrumental Variables \| Serial Correlation

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 136 8 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010598807