Estimation of Serially Correlated Error Components Models Using Whittle’s Approximate Maximum Likelihood Method

Badi Baltagi, Georges Bresson () and Jean-Michel Etienne ()
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Georges Bresson: Université Paris Panthéon-Assas
Jean-Michel Etienne: Université Paris-Saclay

A chapter in Seven Decades of Econometrics and Beyond, 2025, pp 337-365 from Springer

Abstract: Abstract This chapter studies the estimation of error components models with serial correlation of the ARM(p, q) type using Whittle’s (Whittle, 1953) approximate maximum likelihood method. This is done for the one-way and two-way error components panel data model. Monte Carlo simulations are performed that investigate the small sample performance of this method.

Date: 2025
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DOI: 10.1007/978-3-031-92699-0_12

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