Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128717
Authors: 
Egger, Peter
Year of Publication: 
2001
Series/Report no.: 
WIFO Working Papers 171
Abstract: 
This paper focusses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The derived procedure is a feasible generalized least squares (GLS) estimator, which provides estimates of the variance components in the spirit of Hausman & Taylor (1981).
Subjects: 
Panel Econometrics
Serial Correlation
Seemingly unrelated regressions
Endogenous effects
JEL: 
C33
Document Type: 
Working Paper

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