Estimation of dynamic error-component models with autocorrelated disturbances by the instrumental variable method

Estimation des modèles dynamiques à erreurs composées avec autocorrélation par la méthode des variables instrumentales

Serge Alain Matondzi Ngouma
Additional contact information
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

Working Papers from HAL

Abstract: In this paper, we consider a dynamic error-components models with autocorrelated disturbances. We analyse the efficient estimation procedure of autocorrelation parameter and we try to find out whether moment conditions of a dynamic model without autocorrelation are valid when the model includes autocorrelation. We propose two efficient estimation methods of autocorrelation parameter in addition to Baltagi and Li (1994) estimator. We show that all moment conditions of a dynamic model without autocorrelation are not valid in dynamics errors-components models with autocorrelated disturbances.

Keywords: Economics; Economic theory; Statistics; Operations research; Modèles Dynamiques à Erreurs Composées; Autocorrélation; Conditions d’orthogonalité; Estimation convergente; Variables instrumentales (search for similar items in EconPapers)
Date: 1996
Note: View the original document on HAL open archive server: https://hal.science/hal-01526978v1
References: Add references at CitEc
Citations:

Published in [Rapport de recherche] Laboratoire d'analyse et de techniques économiques(LATEC). 1996, 24 p., ref. bib. : 23 ref

Downloads: (external link)
https://hal.science/hal-01526978v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01526978

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().