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.

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...

This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least...

This note analyzes the asymptotic distribution for instrumental variables regression for panel data when the available instruments are weak. We show that consistency can be established in panel data.