Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56228
Authors: 
Skoglund, Jimmy
Karlsson, Sune
Year of Publication: 
2001
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 432
Abstract: 
This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established for a comprehensive specification which nests these models as well as all commonly used random effects models. When only N or T grows large only a subset of the parameters are consistent and asymptotic normality is established for the consistent subsets.
Subjects: 
Panel data
serial correlation
random effects
JEL: 
C12
C13
C23
Document Type: 
Working Paper

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