The Hausman-Taylor panel data model with serial correlation

Badi H. Baltagi; Long Liu

doi:10.1016/j.spl.2012.03.016

The Hausman-Taylor panel data model with serial correlation

Badi H. Baltagi, Long Liu

Department of Economics

Research output: Contribution to journal › Article › peer-review

15 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 language	English (US)
Pages (from-to)	1401-1406
Number of pages	6
Journal	Statistics and Probability Letters
Volume	82
Issue number	7
DOIs	https://doi.org/10.1016/j.spl.2012.03.016
State	Published - Jul 2012

Keywords

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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10.1016/j.spl.2012.03.016

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title = "The Hausman-Taylor panel data model with serial correlation",

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.",

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author = "Baltagi, {Badi H.} and Long Liu",

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KW - Instrumental variables

KW - Panel data

KW - Random effects

KW - Serial correlation

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JO - Statistics and Probability Letters

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The Hausman-Taylor panel data model with serial correlation

Abstract

Keywords

ASJC Scopus subject areas

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