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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

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

Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Econometric reviews 36 (2017) 1/3, pp. 85-102

Persistent link: https://www.econbiz.de/10011794682