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Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors : The Case of Stationary and Non-Stationary Regressors and Residuals

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - 2011

This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are...

Persistent link: https://www.econbiz.de/10014183167

A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models

Baltagi, Badi H.; Liu, Long - 2011

Baltagi and Li (1992) showed that for estimating a single equation in a simultaneous panel data model, EC2SLS has more instruments than G2SLS. Although these extra instruments are redundant in White (1986) terminology, they may yield different estimates and standard errors in empirical studies...

Persistent link: https://www.econbiz.de/10014183600

Instrumental variable estimation of a spatial autoregressive panel model with random effects

Baltagi, Badi H.; Liu, Long - In: Economics letters 111 (2011) 2, pp. 135-137

Persistent link: https://www.econbiz.de/10009242395

An improved generalized moments estimator for a spatial moving average error model

Baltagi, Badi H.; Liu, Long - In: Economics letters 113 (2011) 3, pp. 282-284

Persistent link: https://www.econbiz.de/10009503063

The estimation and testing of a linear regression with near unit root in the spatial autoregressive error term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 241-270

Persistent link: https://www.econbiz.de/10010202741

Estimation and prediction in the random effects model with AR(p) remainder disturbances

Baltagi, Badi H.; Liu, Long - In: International journal of forecasting 29 (2013) 1, pp. 100-107

Persistent link: https://www.econbiz.de/10009706170

On the estimation and testing of fixed effects panel data models with weak instruments

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: 30th anniversary edition, (pp. 199-235). 2012

Persistent link: https://www.econbiz.de/10009711980

Test of hypotheses in a time trend panel data model with serially correlated error component disturbances

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Essays in honor of Peter C. B. Phillips, (pp. 347-394). 2014

Persistent link: https://www.econbiz.de/10010442857

Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors : the case of stationary and non-stationary regressors and residuals

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: The econometrics journal 11 (2008) 3, pp. 554-572

Persistent link: https://www.econbiz.de/10003802390

Random effects, fixed effects and Hausman's test for the generalized mixed regressive spatial autoregressive panel data model

Baltagi, Badi H.; Liu, Long - In: Econometric reviews 35 (2016) 1/4, pp. 638-658

Persistent link: https://www.econbiz.de/10011550080