Arbeitspapier
SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects
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).
- Language
-
Englisch
- Bibliographic citation
-
Series: WIFO Working Papers ; No. 171
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Subject
-
Panel Econometrics
Serial Correlation
Seemingly unrelated regressions
Endogenous effects
Regressionsanalyse
Panel
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Egger, Peter
- Event
-
Veröffentlichung
- (who)
-
Austrian Institute of Economic Research (WIFO)
- (where)
-
Vienna
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Egger, Peter
- Austrian Institute of Economic Research (WIFO)
Time of origin
- 2001
Other Objects (12)
On the Problem of Endogenous Unobserved Effects in the Estimation of Gravity Models
Darstellung und Charakterisierung von epitaktischem und lumineszierendem nanokristallinen Silicium
Die Stellung der Kiefergelenklängsachsen in 2 Ebenen: Messungen am mazerierten Unterkiefer
Die Abhängigkeit des Spannungszustandes im Druckversuch von den Auflagerungsbedingungen
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances
Endogenous Bank Mergers and Their Impact on Banking Performance
Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances
On the Problem of Endogenous Unobserved Effects in the Estimation of Gravity Models
Darstellung und Charakterisierung von epitaktischem und lumineszierendem nanokristallinen Silicium
Die Stellung der Kiefergelenklängsachsen in 2 Ebenen: Messungen am mazerierten Unterkiefer
Die Abhängigkeit des Spannungszustandes im Druckversuch von den Auflagerungsbedingungen
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances
Endogenous Bank Mergers and Their Impact on Banking Performance
Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances
On the Problem of Endogenous Unobserved Effects in the Estimation of Gravity Models
Darstellung und Charakterisierung von epitaktischem und lumineszierendem nanokristallinen Silicium
Die Stellung der Kiefergelenklängsachsen in 2 Ebenen: Messungen am mazerierten Unterkiefer
Die Abhängigkeit des Spannungszustandes im Druckversuch von den Auflagerungsbedingungen
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
Egger, Peter
GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances
Endogenous Bank Mergers and Their Impact on Banking Performance