The Hausman-Taylor Panel Data Model with Serial Correlation

Badi Baltagi and Long Liu
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Long Liu: The University of Texas at San Antonio

No 136, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

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.

Keywords: Panel Data; Fixed Effects; Random Effects; Instrumental Variables; Serial Correlation (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2012-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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https://surface.syr.edu/cpr/194/ (application/pdf)

Related works:
Journal Article: The Hausman–Taylor panel data model with serial correlation (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:136

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