Behaviour of common estimators in dynamic error-components models with autocorrelated disturbances

Comportement des estimateurs usuels dans les modèles dynamiques à erreurs composées avec autocorrélation

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: The purpose of this paper is to make a presentation of the properties of a set of estimators comprising the within, between, OLS and GLS estimators in the study of dynamic error - components models with autocorrelated disturbances. We underline in this study the importance of the statistical distribution governing the initial values for the process and the structure of xit variable for the limiting values of the estimators when the temporal dimension is fixed but the individual dimension N grows indefinitly.

Keywords: Economics; Economic theory; Statistics; Operations research; Modèles dynamiques à erreurs composées; Autocorrélation; Conditions initiales; Proriétés asymptotiques; Estimation convergente; Limites en probabilité (search for similar items in EconPapers)
Date: 1997
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Published in [Rapport de recherche] Laboratoire d'analyse et de techniques économiques(LATEC). 1997, 43 p., ref. bib. : 1 p. 1/2

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