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Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Jimmy Skoglund () and Sune Karlsson ()
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Jimmy Skoglund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 432, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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.

Keywords: Panel data; serial correlation; random effects (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2001-02-13
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0432

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