The Hausman-Taylor panel data model with serial correlation

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

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
Volume82
Issue number7
DOIs
StatePublished - Jul 2012

Keywords

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

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'The Hausman-Taylor panel data model with serial correlation'. Together they form a unique fingerprint.

  • Cite this