Estimating Autocorrelations in Fixed-Effects Models

Gary Solon

No 540, Working Papers from Princeton University, Department of Economics, Industrial Relations Section.

Abstract: This paper discusses the estimation of serial correlation in fixed-effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of the time series goes to infinity, are not consistent for a short time series as the size of the cross-section goes to infinity. A short time series of a large cross-section, however, is the typical case in longitudinal data. This paper extends Nickell's method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first-order autocorrelations and to error processes other than first-order autoregressions. The paper also presents statistical tables that faciliate the identification and estimation of autocorrelation processes in both Nickell's method and an alternative method due to MaCurdy.

JEL-codes: M5 (search for similar items in EconPapers)
Date: 1983-04
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Related works:
Working Paper: Estimating Autocorrelations in Fixed-Effects Models (1984)
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Persistent link: https://EconPapers.repec.org/RePEc:pri:indrel:160

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