Document Type
Working Paper
Date
3-2012
Embargo Period
10-8-2012
Keywords
Panel Data, Fixed Effects, Random Effects, Instrumental Variables, Serial
Disciplines
Economics | Public Affairs, Public Policy and Public Administration
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.
Recommended Citation
Baltagi, Badi and Liu, Long, "The Hausman-Taylor Panel Data Model with Serial Correlation" (2012). Center for Policy Research. Paper 194.
http://surface.syr.edu/cpr/194
Source
local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
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