The Hausman-Taylor panel data model with serial correlation

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)1401-1406
Number of pages6
JournalStatistics and Probability Letters
Issue number7
StatePublished - Jul 2012


  • Fixed effects
  • Instrumental variables
  • Panel data
  • Random effects
  • Serial correlation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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