Dynamic error-components models with autocorrelated disturbances: a brief survey

Modèles dynamiques à erreurs composées avec autocorrélation: bref aperçu

Serge-Alain Matondzi Ngouma
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Serge-Alain Matondzi Ngouma: LATEC - Laboratoire d'Analyse et de Techniques Economiques [UMR 5601] - UB - Université de Bourgogne - CNRS - Centre National de la Recherche Scientifique

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Abstract: Studying dynamic error component models with autocorrelated disturbances has started very recently in econometrics analysis of panel data. There is no article or book which tackles this topic exhaustively. In this study, a brief survey of these models is presented. The within, between, OLS, GLS, maximum likelihood and instrumental variable estimators are especially analysed, and the particular characteristics of these models are underlined each time.

Keywords: Economics; economic theory; Statistics; operations research (search for similar items in EconPapers)
Date: 1997
Note: View the original document on HAL open archive server: https://hal.science/hal-01526910v1
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Published in [Rapport de recherche] Laboratoire d'analyse et de techniques économiques(LATEC). 1997, 24 p., ref. bib. : 1 p. 1/2

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