Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances

Robert Phillips

Economics Bulletin, 2003, vol. 3, issue 15, 1-4

Abstract: This note provides Monte Carlo evidence illustrating that feasible and true GLS estimators of the Baltagi and Griffin (1988) generalized error component model do not have the same sampling behavior. Indeed, while the true GLS estimator is consistent, a feasible GLS estimator need not be, an observation corroborated by the Monte Carlo results.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2003-07-16
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