The Hausman-Taylor Panel Data Model with Serial Correlation

Author(s)/Creator(s)

Badi Baltagi, Syracuse UniversityFollow
Long Liu, University of Texas at San Antonio

Description/Abstract

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.

Document Type

Working Paper

Date

3-2012

Keywords

Panel Data, Fixed Effects, Random Effects, Instrumental Variables, Serial

Series

Working Papers Series

Disciplines

Economics | Public Affairs, Public Policy and Public Administration

Additional Information

Working paper no. 136

Recommended Citation

Baltagi, Badi and Liu, Long, "The Hausman-Taylor Panel Data Model with Serial Correlation" (2012). Center for Policy Research. 194.
https://surface.syr.edu/cpr/194

Source

local input

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.