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.

Source

local input

Creative Commons License

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

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